Ethernet..

If you don't want to buy a switch, try to get an "ethernet crossover cable" and you can run the cable back to back between the computers. (Or cut a normal cable and rewire it to be a crossover http://www.makeitsimple.com/how-to/dyi_crossover.htm).

If you want really fast, the Gigabit ethernet NICs and switches have gotten quite reasonable and are blazing fast.