All my local shops that I've been to so far want $45 for transfers, which I thought was pretty steep, but then I see some people have to pay 10% of MSRP which is insane.
At any rate, I bought my Sig from Mooney's Firearms online. I did this because one local shop tried to sell my fiance (she was buying it for me as a gift) a CPO sig for $800 out the door. So instead of that, I talked with Mooney's and got the 226R Navy brand new for a bit cheaper. Walked into the range, told them I wanted to transfer, asked the fee, and that was it, they handed me paper work and walked me through the details of the transfer process. The gun showed up a few days later and they ran the paper work as soon as they had the firearm (which was before I could come in again) so I was able to pick it up the first chance I had. Great experience, and they were very friendly. Probably why I buy through them now, unlike the other local shop they understand that people are stupid and you shouldn't try to take them for whatever you can the first chance you get. (Sorry for the mini rant, but it bothers me when local guys complain that they internet screws them, when really they just try and screw everybody they see and thus run customers off).
cliff notes: Transfering is great as long as you have a nice local place to transfer to.