Sneakernets are still the fastest way to transfer data. http://en.wikipedia.org/wiki/Sneakernet
That said, I have heard of companies actually couriering semi-large volumes of sensitive data this way.
Indeed some countries and there data protection laws make things most interesting in legal ways to transfer data, even today. No standard on data protection World Wide and in itself a minefield, let alone other industries like medical research companies or those dealing with country wide firewalls.