I struggled with whether to get Fusion or Parallels when I bought my MBP three years ago. It is a very close call. Both virtualization programs are fine but they are also somewhat different. Although I have been very pleased with Fusion over the past three years, I really think that I would have been equally happy with Parallels. The bottom line is that you can't go wrong with either virtualization program. I should add that Fusion 3.1 has handled the same setup on my MBA I run on the MBP and does so just as well.
By far the best way to transfer files between Windows apps and OS X apps, or between any two apps for that matter, is with Dropbox. I have setup Dropbox in both Windows and OS X on both my MBA and MBP. That way, any file saved to the Dropbox folder in one OS will automatically be saved to the other, as well as to the other computers upon which the Dropbox app as been installed. The Dropbox app automatically syncs all files via the Internet to all other Dropbox folders with the same account that you setup on other computers or different OSs on the same computer. Better yet, a 2GB account is free. Try it, you'll like it.
By definition, all virtualization programs are memory hogs. My MBP failed to give me satisfactory performance when I was trying to run Windows 7 apps in VMware Fusion's Unity mode with only 2GB of RAM. Only after upgrading the MBP to 6GB of RAM did it satisfactorily handle my setup. My MBA handles the same setup with 4GB of RAM that the MBP did with 6GB but does require a 1GB swap file, which results in a significant number of page outs. The page outs, though, don't slow things down noticeably. I think, that's primarily a result of the MBA's ultra fast flash storage.