Sony has just posted a massive PS4 FAQ on the PlayStation Blog, and it's full of granular details surrounding the next-gen console. One noteworthy piece of news: the PS4 won't support external hard drives, although the internal hard drive will be swappable.
So no, you can't plug another hard drive into your machine for extra storage, Sony says. But you can upgrade the 500 GB hard drive that comes with the PS4, so long as it meets certain standards:
PS4 is equipped with a 5400 RPM SATA II hard drive. Users can choose to install a new hard drive so long as it complies with these standards, is no thicker than 9.5mm, and is larger than 160GB.
If you want more than 500GB — and you might, considering that just one game, Killzone: Shadow Fall, is close to 40GB — you'll have to upgrade.