I ended up using BetterTouchTool to do this. Overall I found it to be the most configurable. Here is a screenshot of my configuration, whereas Cmd+Ctrl+W moves a window to the next monitor.
Edit: If you have a 3 monitor setup (2 external monitors and the Mac monitor), you can set up the "Move Window to Next Monitor" to the right by doing the following:
- set up a new shortcut, specify "Move Window to Next Monitor" as the Predefined Action
- click Attach Additional Action and again specify "Move Window to Next Monitor" as the action
- Voila, you can now move a window to the monitor on the right (a little hacky I know, but it works until the developer of BTT updates the app)

The only shortcoming of BetterTouchTool is poor Lion support (not all features are available) but it is available as an alpha release. This specific keyboard shortcut should work fine in Lion with the stable version, I reckon.