I want to transfer all of the objects from one .blend file into another one. Is there a way of doing this?
That is quite easy.
Open the .blend where you whant your objetcs copied to, press Shift-F1, select the file where the objetcs you want to copy are… start browsing the file, what you want is on the ‘Object’ Category.
Also notice that, for example, you could import materials without importing any specific object, or import a mesh without importing objects, etc. etc. etc. … If you import some kind of DataBlock other than ‘Objetct’ then you must link it to an already existing object on your file (or assing a fake user to it). Failing to do so will cause the DataBlock not been saved when you save the Blend file.
Want something a little more advanced? 
When you press Shift-F1 look for a pair of buttons at the bottom of the Window that say ¨Append/Link¨. Append is the default choise and it will do what I just wrote… Link is an interesting option. Instead of copying the Data from the .blend file, it just place a link to that data. So, if the data on the original blend changes, so does the data on the imported file.
However, data imported by the ‘link’ option can’t be changed on the imported-to file, it needs to be changed on the original file. Why is this so cool? imagine a group of blender users are working on a short film, each one is assigned to animate one of the characters.
By using the Link option, each member will animate his assigned character on it’s own blend file, and the other would just link to that file, so everyone can work on his asigned character and see how it interacts with other’s character or see the progress other members are doing.