I'll list them from slowest to fastest:
null-modem cable (serial to serial->make sure your serial port speeds in device manager are set to the max)
male/male parallel cable (parallel to parallel... make sure you get a cable with 25 individual conductors)
usb/usb cable (last i saw, one of these was about $40)
you could pick up a pair of 10/100 network cards and a crossover cable
the fastest option would be to remove the hard drive from one computer and stick it in the other (you'd need an ide cable in that case
)