For me a USB Flash Drive is the most convenient vehicle to transfer images, MP3's, documents and files from one computer to another. For jobs that would be say larger than the capacity of a USB Flash Drive, I would choose to use a small external USB non power assist hard drive to transfer larger files. I have a small 350 Gig USB hard drive, that in shapes and purposes acts like a USB Flash Drive in many ways. The non power assist is nice on my small external, no power cords needed, gets it's power off the computer via the USB port.
But out of all that a person can do, I support and think that Jobeard's option is the best. Nothing more nicer and faster than telling one computer to send information to another, all without having to leave ones chair to do it.
But to support what other have said, if you use any devices to get the job done, please make sure the format's are the same......FAT16 going to FAT16, FAT32 going to FAT32, NTFS going to NTFS....ect, ect, ect!