7on said:
unless the two computers are on gigabit ethernet, then that should be faster than fw.
Don't you mean that the other way around? If the two computers are on 10 or 100 Mbit, then the connection will probably be slower than FW400 or 800. But a 1 Gbit connection should be faster than FW.... FWIW, Gigabit ethernet is only on the 15/17" PBs, the iMac and the PMs.
Also (probably obviously), at least with Macs, you can make an ad-hoc connection using rendezvous / bonjour if they both have wireless cards. The option is "create network" in the airport menu. This is probably possible in Windows, but I don't know how, offhand. Maybe installing Bonjour for Windows would do it easily.
EDIT: DarkNetworks, yes, I'm pretty sure most routers will let you do what you describe. The total cost of that solution, if you have no hardware at present, would probably be approximately $25-40 if you shopped around.