You don't say what the "other phone" is, so I'll assume it to be another Droid...
Hypothetically speaking, you could use (for one example) BlueFTP - a free download from the Market. Of course, illegally copying licensed materials from one device to another is wrong...
Astro "free in the market" is a file manager that allows you to browse your mp3's or any file for that matter... hold your finger on the file and pick "send", then pick bluetooth and link to another phone.