You can use wireless network for file transfer. Setup is just as fast as with Bluetooth.
There are also USB network cables, but require software.

Bluetooth can be secured/paired, which is ideal if you're in an environment where multiple devices may be operating. Otherwise it's quite simple plug-n-play as you've observed. The other catch is that it's quite slow (at absolute max ~20Mbit (on 4.0 devices), but Bluetooth 1.0 and 2.0 devices will be more like 1-2 Mbit), and has relatively limited range (usually only a few meters). It's great for "simple" stuff like audio devices, input devices, etc but for big file transfers or something high bitrate (e.g. HD video) I'd probably prefer a LAN, or direct connection via some faster medium like USB, FireWire, etc.

I'm a big fan of Bluetooth file transfer, at least up until XP which supported it flawlessly.
Windows 7 and onwards is all hit and miss with more miss at least in my experience.

Only used it from android to PC - not sure if there is any way to permanently allow it between paired devices - always have to select "receive file".

PS. The ever popular USB Bluetooth can be a little annoying, blinking away (and they are usually quite bright) - I slung mine in a rear USB port ... does hurt the range a bit.