There have been many posts on this subject and there are lots of plugins to help you do this. I personally use Backup Buddy to migrate sites, especially if I want to migrate a site in or out of a multisite install (check out my previous walk through on how to do this).
But sometimes you do not want to go through the hassle of installing plugins. Maybe you just want to login to your web server, zip up your WordPress folder, script your entire DB and do it all manually. If you know how, this can be a really simple process.
Obviously, this will change from site to site and it depends on the table prefix your WordPress install is using and the urls.