I think the best an most easiest way to do this is to transfer the PC files(movies, music, documents) to an external hard drive, and then transfer from the hard drive to the Mac.
Another way which was noted and is more slow than the hard drive method is to connect the computers together via a Network Connection. To do so you would:
On the PC:
Find the folders you that have the files you want to move over. Right Click on the folder, choose Properties from the drop down list. Choose the Sharing Tab, and click Share This Folder On A Network. Note: sometimes(depending on how much you have in the folder you are trying to share) it can take a little while to apply the sharing permissions to the folder.
Then on the Mac(running leopard) Open a New Finder Window, You can do so by click the Finder Icon(far left, smiling face), An on the Left Side of the window where it shows your Devices, Places, and now there should be an option for Sharing. Under sharing you should see the name of the PC, and when you click on that you will see all the Folders that you had previously shared. Then from there all you have to do is Drag and Drop to the Mac.
I personally think CD’s and DVD’s are a waste of time when you are transferring a large amount of files. Think of it this way, you have to spend time finding all the files you want to transfer. Then wait for them to burn to the disc(depending on your burner, can take a large amount of time), then load that into the Mac, and wait for it to transfer to the Mac.
Hope this helps!