External hard drive, or ethernet crossover cable, or connect both to a switch via straight through ethernet cables.
I personally use a crossover cable as the switch is downstairs and its easier to just leave a crossover cable plugged into my desktop and attack laptop as needed for those rather large transfers.
Network crossover cables:
http://www.overclockers.co.uk/search_results.php?sortby=&groupid=1929&search=crossover