If your laptops have Infra-Red ports (if laptops still come with those) or Ethernet ports, then you're already set. Just need a crossover Ethernet cable, if applicable.
USB-USB network adapters are easy to use (once you've installed the drivers on both computers) and cost about $50. You can't use just a normal USB cable.
Old 10Base-T PCMCIA and USB Ethernet adapters are very cheap now, if you can find them. If you don't mind lugging around a bunch of extra dongles and adapters, this is probably cheaper than the USB-USB cable from above.
If you only need to transfer a small amount of data, a Flash memory drive would work.