I absolutely love Minecraft, the one thing I'm pissed about is my friend has suddenly decided to make the server a communist server. He Declared that there may only be one town and he is wiping the server clean tonight.
Depending on what you're destination is, I'd probably opt for a bicycle. It doesn't require gas, it's quiet, you can jump off of it quickly if needed, and it's easier to hide from potential scavengers/raiders.
Possibly Rollerblades then. They are all of the above. Except for quickly to get off. And not quick to stop.