I am not sure about 2k08 as there are some additional utilities to copy files between servers. FTP will be the faster of the two, because it doesn't use the window's file system to transfer the file. (there is overhead, but unless the file is large it might be negligible). There are other advantages to not using a share, such as the remote server with the file crashing mid-access.
I disagree with cmartin about adding an open share to the db server. Generally you don't want to open file shares to the db server as it is generally considered a security risk, and a lot of places won't allow it. That being said it would negate you having transfer the file to another location to use the bulk import.