Banks vs. Credit Unions

I've been reading a number of financial blogs lately. I've always been interested in money and how to make it grow, how to best reduce debt, etc. Anyway, I came across a few entries about banks versus credit unions and how credit unions usually give you a better interest rate. I did some homework, the Princess made a few calls and lo and behold! A credit union in the next town (that we are eligible to join) has a savings account with twice the amount of interest that we currently have at our bank. Here's my question: Is it really that easy? Or is there a catch of some kind? Should I transfer all of our savings over to the new bank, or should I leave some in my old savings account? Anyone, anyone, Bueller?