There are mane ways to transfer files between two PCs. What's more convenient depends on your setup and the amount of data you need to transfer.
Personally I use the two following methods :
If I need to transfer relatively small amount of data (meaning less than 8 GB) and I am not in any particular rush, I just use a USB flash drive (the limit is the size of the drive, 8GB currently). Of course, I can use an external hard drive to do this for larger chunks of data, but that would be rather slow with USB2, while not every computer is equipped with an eSATA port (the new USB3 might change the equation as well).
If I need to transfer more than 8GB or if I am in a hurry to transfer a large file (say a 4GB video file) I use sftp. This is way faster than USB in my experience (remember, with USB you need to transfer the same stuff twice!), although it requires some setting up (once) and then turning the sftp on. I suppose I could use it always, but sometimes it's easier to plug in the flash drive.
Now, instead of the sftp you could use simple ftp, I just do it this way out of security paranoia (for the same reason I do not use file sharing or Microsoft network features described by Matt; of course they work just fine as well and lots of people use them instead of the ftp).
Of course, one of your machines must be setup as a "server", while any other can just run one of the multitude of ftp or sftp clients (
putty, for example). I use Cygwin to setup the server, but this is because I use
Cygwin for several other things as well. There are many other possibilities to setup a sftp server in Windows (if one of your machines is Linux, then you're all set to begin with) for example,
freeSSHd and
Cerberus ftp.
Hope this helps!