A new feature at ArcGIS 10 is the ability to create a map package (file extension of MPK) using all the data that is in a map document (MXD). It will act just like the layer package that was introduced at ArcGIS 9.3.1. The package includes the map document (version 10 mxd) and the data (even if the data is from diverse places).
The map package will self-extract using the ArcGIS File Handler utility (ArcGISFilehandler.exe utility in your Program Files\Common Files\ArcGIS\bin folder, it also automatically installed with ArcGIS Explorer 900), it will by default place the files in your My Documents (XP) / Documents (Vista & Win7) > ArcGIS > Packages.
This is a great way to share a whole map with someone at a different location, however they will need to have ArcGIS 10, it won't work in ArcGIS 9.x. You will also be able to upload map packages to ArcGIS Online.