One option would be to use the Migration Assistant with a time machine backup.
Another option would be to use something like Carbon Copy Cloner to clone your data to another disk or image and go from there.
I personally use the latter when I'm about to switch machines, although I'll usually do a fresh install of OS X and then just manually bring in the stuff I need (mail, docs, music, etc)
Yes, in fact Macs are better at it than Windows machines since all the kext are already installed. I've moved between Macs and recently moved my Hackintosh desktop and never had an issue.
I'd just use migration assistant over ethernet or firewire. Works great and the only thing I ever have to reinstall is Parallels or VMWare and macfuse. Almost all the system preferences are copied over but some will not be. If I don't have the two machines to run side by side I just take screens of the pref panes before hand to get everything setup again the same.