Most of the My Books come with USB2 and Firewire cables. I don’t know whether you get eSATA cable as well.
Though Firewire designates slower seed (400Mb/s) compare to USB2 (480Mb/s), in real life I have noticed faster data transfer rate on Firewire connections.
eSATA is the fastest of these three and you need an eSATA > SATA cable for this. I don’t think it is expensive though.
eSATA is faster than USB, when it comes HDDs. But remember, though eSATA claimed to be hot swappable, I wouldn’t recommend that practice. So, don’t disconnect/reconnect while power ON in any side, to be in safe side.