Jumper cables are the most efficient way, the next way is a large jumper kit with a lead-acid battery that hooks directly to your battery.
I have a small jump start battery device that hooks through your cigarette lighter (got it as a gift) and it worked once in an emergency, failed a second time.
Bottom line, get real jumper cables if you have another car available. For real emergencies, I strongly recommend one of these:
http://www.amazon.com/Cobra-CJIC-350-Jumpstarter-Powerpack/dp/B002HQYXNK/ref=sr_1_4?s=automotive&ie=UTF8&qid=1274816435&sr=1-4
Not necessarily that brand, but something like it. It's a true jump starter that clamps to the battery terminals, and has enough juice to do it right the first time. Most importantly, they give you independence. Even if you have jumper cables, you have to have another driver somewhere near by to pull up to you-- and close enough for the cables to work. These are basically the units that AAA carry with them for times when your car is parked in a way that they can't run cables to you.