Maybe everyone already knew this, but I didn't. Instead of opening up Spaces with F8 or using a keyboard shortcut to switch to a numbered Space or whatnot, you can also grab a window's title bar (as if you're just going to move it around the screen) and use Command-Tab to switch to the Space where another app is running.

EXAMPLE: You have a TextEdit window on Space 4 and Mail running in Space 1. If you want to move them into the same Space, grab the TextEdit window, Command-Tab to open the application switcher and select Mail, then let go of Command-Tab while still holding down the mouse button. Your TextEdit window will travel with you to the Space with Mail in it!

I find this useful because a) it can often be faster than opening Spaces with a function key or using a keyboard combo to move the window onto a specific Space (I have mine mapped to Ctrl-1 thru Ctrl-8, but the ones past about Ctrl-5 are kind of hard to reach if you're dragging a window), and b) sometimes you don't remember which Space a given app is running on, but you want to move a window to whatever Space that app is on.

Note that sometimes the window you're dragging might end up in the background behind another window when you switch Spaces, but it is still in drag-mode as long as you have the mouse button held down (e.g., if you change your mind and want a different space, you can just Command-Tab again without bothering to foreground the window you're dragging first, and it will still come with you).

Hope others find this useful as well...