I don't know if this known by all Mac users, but you can move a window from a space to another by just dragging the window to the limit of the screen. If you wait a few seconds, the window slides (and the screen also!) from the original space to the other one.
Just try this: starting from the main space (I assume you have 2x2 spaces) drag a window to the right. Wait a few seconds and you go to space two. Then move the window down and wait, and you go to space three. Now move the window to the left, you are on space four. To finish, push the window up to the menu bar, and you are back to space one.
[robg adds: There's a key in the Dock named workspaces-edge-delay with a value of 0.75. I had guessed this was the delay before the window slid into the next space, but changing it and restarting the Dock (and Spaces) didn't seem to make any difference. There's another interesting key there named workspaces-wrap-arrows, which I thought might remove the 'wall' when you try to go, for instance, left from the leftmost space, but no luck. If anyone manages to figure these out, please post in the comments.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20071025140916203