Migration Strategy

I am hoping somebody can help me with developing the right strategy here. I want to install WP on my local machine, develop three sites, and then upload them to an external server. When I am done testing and ready to upload to the web host, which files have to come along?

I realize most of the WP stuff just gets copied, but what about the MySQL? The MS Windows online installation tool created files in a hidden directory under C:\Documents and Settings\All Users etc. I assume if those links are going to “break” if I port the WP sites to different hosts without maintaining the data.

So, if you were me how would you configure file locations and folders to make it simplier to upload with FileZilla or whatever? I am most interested in hearing your thoughts on the SQL.