I think that the fastest way to transfer data between a PC and an HP95/100/200LX is to use a PC-CARD (aka PCMCIA). You can get them with 100+ MB for next to nothing on TAS and you can buy a PC-CARD reader (for next to nothing too) for you PC or laptop if you don't already have one.
Aside from being much faster than serial communications it's good to just keep one of these cards in your palmtop for greatly enhanced storage of programs and data, It looks to your palmtops that it has an like the A: when installed (by default, you could change that).
If you really want to go the serial route, you can still buy them new here and probably elsewhere on the web. The serial cable is needed for connection to a modem, for example, and you can even get an email client that works pretty well. It used to be possible to do some web surfing too, but I haven't tried that in years and I doubt that you'd get very far with it these days.
Finally it's possible to skip the serial connection but still connect to the internet by buying a PCMCIA modem card with an X-JACK built in. There was at least one 14.4K modem card that worked well on the 200LX, I don't think that there were any faster ones made that worked. IIRC they all draw more current than the 200LX can supply so you have to use an external modem for better speed.
-Katie