With large number of files, it is best to create tar archive so that you have less files to deal with. If you are using USB 2.0 external hard drive you should look at using USB 3.0, eSATA, or use a fast local network.

What is your source OS? If both of your operating systems were Linux, you could pipe the files through tar, gzip, and scp to the target machine. You could install cygwin on Windows to get this type of functionality for Windows as well.

With large number of files, it is best to create tar archive so that you have less files to deal with. If you are using USB 2.0 external hard drive you should look at using USB 3.0, eSATA, or use a fast local network.

What is your source OS? If both of your operating systems were Linux, you could pipe the files through tar, gzip, and ssh to the target machine. You could install cygwin on Windows to get this type of functionality for Windows as well.

Update:
"Using Tar and SSH to improve SCP Speeds" post describes the commands needed to send tar contents over ssh.