One great way to get to/from Anguilla is by ferry. It's easy to get to St. Martin for instance, day trippers from Anguilla to SXM pay $5.00, departing travelers pay $20.00 departure tax, cash at the window.

 From SXM airport to Anguilla

There are taxis outside the SXM airport terminal, just tell the taxi driver you want to go to Marigot ferry port (cost approx $20). When you arrive at the ferry terminal at Marigot, a porter will take your luggage and put in on the boat for you, you will get charged approximately 3 euros ($5) for this service, which is compulsory. Go to one window and put your names and passport details on the form. Then go to the next window and pay for your departure tax ($5 or 3 euros each).

The boat leaves approximately each 30 minutes, last boat at 6.30 pm, you can't reserve a space. Pay onboard, $15 per person cash - (Feb, 2012). Fill in the custom form given to you on the boat, disembark at Blowing Point, pick your luggage, and proceed to the immigration and customs.  You should make rental car arrangements before you arrive, the port is very small and remote, opposite of the Marigot port, and had one rental company (not a major one) with not the best array of cars. Taxis are plentiful.  $55U.S. (Feb, 2012) for a 2 hour tour of the island.

From Anguilla (Blowing Point) to Marigot.

You need to pay the departure tax in one of the windows at the port, then at the next window, you pay the fee for the ferry ($15). No payment on the boat in this direction.

On arrival at Marigot, a porter will take your luggage and deliver it to you after the immigration  and customs. There are taxis waiting outsite the ferry terminal, also possible to hire a car.

It is also possible to fly between SXM and AXA (Anguilla).  Anguilla Air Services have three flights a day in an 8-seater.   More expensive than the ferry, but very convenient.   You can book online at their website.  It is not possible to check your luggage through with them: you have to collect it at SXM, but they will help you with this.  St Martin departure tax will be included in the ticket price, but the Anguilla tax ($20) you will pay when you depart Anguilla