I had done this so many times using mouse and every time I did, I wondered why isn't there a key board short cut to do it. Dragging it felt so slow and at times it hindered productivity.
In Windows 7, the short cut key is:
Win+Shift+left: to move the selected window to left
Win+Shift+right: to move the selected window to right
If you have only two monitors then pressing left or right again will switch the window between the left and right monitors.
I need to test this on more than two monitors. If you have 3 monitors, then let me know how it works.