cp -r ~/Pictures/iPhoto Library/ /Volumes/myexternaldrive/
Activity Monitor showed cp using only 20% CPU, and maxing out my drives at 23MB/sec! What would have taken an eternity in the Finder took only 15 minutes, thanks to Terminal.
NOTE: If you need to copy files with resource forks, install the Developer Tools and use CpMac (in /Developer » Tools) instead of cp.
[robg adds: On a faster machine, I'm not sure there will be much difference in the speed -- I did a quick test on the Mac Pro (using a 3.22GB folder with a few thousand files spread through 160 folders), and both methods took about the same amount of time. In addition to the resource fork issue, note that cp won't copy OS X alias files; it just throws an error message during the copy.
ditto (included with OS X), however, seems to copy them just fine, and handles resource forks automatically. So I tested again with ditto instead of cp. Whereas the time gap with cp wasn't really measurable, ditto was about 15 seconds quicker than the Finder on my 3.2GB test copy. So if I were copying a huge folder, I'd probably try ditto, as it could save a few minutes of copying time.]

