If you purchased an off-the-shelf external hard drive, chances are it came formatted as either NTFS or FAT32. Since you can write to the drive, that means it's probably FAT32 (Mac OS X cannot write to NTFS).
FAT32 is a heavily DOS- and Windows-centric format for a hard drive, and also has some limitations (cannot have a file larger than 4GB in size, filename lengths cannot exceed a certain limit, etc.). When using one of these hard drives with a Mac, it's highly recommended that you initially re-format the drive to a more "Mac-centric" format, like Mac OS X Extended.
You can accomplish this with Disk Utility, located in /Applications/Utilities. Launch Disk Utility, then select the external drive device (the non-indented name) in the left-hand sidebar. Click the "Partition" pane, then select "1 Partition" from the "Volume Scheme" drop down menu. Give your drive a name, select "Mac OS X Extended" from the "Format:" drop down menu. Click the "Options..." button at the bottom of the screen, and ensure that "GUID Partition Table" is selected (assuming you're using an Intel-based Mac. PowerPC Macs should choose "Apple Partition Map", but it really doesn't matter unless you're trying to use the disk as a startup disk). Click "OK," then "Apply."
Your hard drive will now partition and format, at which point you should try the copy again -- I think you'll find better success that way.
Be aware that this procedure will erase all data from the drive, so it's best to do it when you initially get the drive. If you have data on the external drive that you need to keep, you'll need to copy or back up that data somewhere else before doing this.
