Garmin GPSs store your favorites in a file called Current.gpx, in the folder X:\GPX\.
So say you got a new GPS, and want to copy over your collection of favorite locations.
Connect your old GPS via USB to your computer. It should show up as a new drive.
Copy the file Current.gpx to your computer, and rename it to somenthing else, e.g. TEMP.gpx.
Then plug in your new Garmin, and copy the TEMP.gpx file to the \GPX\ folder.
Restart the Garmin. It should merge your favorites into its Current.gpx file.