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. Unfortunately, "next monitor" is the only option, if you have a three-or-more head setup it just rotates through the list.
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.