Both responses so far are two seperate situations.
The first is if you have multiple modules for the same "page function" that you want to interact. Such as the blog module does. You would want to look into intermodule communication for that scenario (pretty much any where the modules are on the same page).
You could use querystring variables for modules on the same page - but to do so will require the page to redirect to the new URL, which would not be the desired action, in most situations.
The second is having 2 modules on seperate pages pass information (one way or bidirectional). There are a few ways to do this
Query Strings
Cookies
Database
Session Variables
These all have benifits and drawbacks, ect... Depending on what you need to do, would best determine what would work best.
Query strings are additional information passed in the URL. Check the url you are at, you'll see something like "forumid/118".
Cookies are cookies.
Database - Most often you will want to use this for situations where you wish to save a user settings, such as a skin selection, or toggle status, ect. If you were doing information for "this visit" the database probably isn't the best option.
Sessions variables don't work reliably in a webfarm environment, so it's not a "supported" feature in DNN. It does work in non- webfarm situations. I have used it myself on occasion.
Hope that helps a little more.