ssh is a secure version of rsh, and sftp is a version of ftp that runs over ssh. When connecting to machines, you should always use ssh or sftp. Never use telnet, rsh, rlogin, rcp, or ftp. They are not encrypted, are not secure, and not supported.
ssh also automatically forwards X windows connections over the encrypted connection. If you ssh from machine A into machine B and start an X application, it will automatically be displayed over the secure connection on machine A.
Free versions of ssh and sftp are available for Windows and UNIX machines. See the FAQ page at http://www.cs.umd.edu/faq for more details.
See also the man page for ssh.