How do I transfer contacts from my old Lumia phone to my new one?

There are several ways you can add contacts to your Lumia (Windows Phone 8):

Online account (recommended)To get the contacts from your old phone, you need a Microsoft Account (Windows Live) ID to transfer the Address Book to your Lumia phone. The same account ID is to be configured to both device and then the contacts are synced through the online account.
Phone contactsCreate and store contacts directly in your phone.
SIM cardCopy your SIM contacts to your phone. To do that, go to People > Settings > Import SIM contacts.
Outlook (Exchange ActiveSync)On your phone, set up your mail account through Settings > email+accounts > add an account > Outlook. If Outlook is used for private mail account then you need to have Microsoft Office Hotmail Connector installed on your computer.
BluetoothReceive contacts via Bluetooth using Transfer my Data app. The application is pre-loaded on your Lumia (Windows Phone 8).