Trevor Appleton has done a nice tutorial on using Filezilla to transfer files to/from your Raspberry Pi by using the SFTP protocol. Beats the hell out of using USB sticks and swapping files that way! Also beats setting up an FTP server on the Pi just to copy a couple of files across.
I use WinSCP if I’m on a Windows box or just VFS with SSH on Linux. Works great 🙂