I favour removing a hard-drive and plugging it into the other machine if you have a one-off large data transfer to do. For occasional smaller transfers USB stick.
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I second this. Physically removing one hard drive and placing it in the other machine is an easy, fool-proof method (and less wiring).
Ditto with USB sticks (which I've seen on sale. 8gig for around $20CAD.)
Wirelessly using an "ad hoc network", by configuring the two computers to recognize each other. If you're on Windows or a Macintosh, read the appropriate "Help" documenation for "ad hoc network" or "computer-to-computer network."
an ethernet cross over cable
a usb drive (depending on size)
or a router with multiple ethernet ports to transfer data...