What's the evidence for interspecies gene transfer? In a paper published recently in Genome Biology, researchers at Cambridge University examined currently available genetic databases of primates (including humans), fruit flies, and nematode worms (the groups were chosen because their genetics are fairly well-known). They then searched the world's known genetic databases for all other organisms for exact matches to specific genes within each group. Matches within a group (e.g. all primates), are most likely to descent from a common ancestor. On the other hand, matches between completely unrelated species (e.g. humans and bacteria), are most likely due to horizontal gene transfer at some time in evolutionary history.
The findings suggested all three groups have picked up genes from totally unrelated species over the long time course of evolution, including genes from algae, fungi, and bacteria. Humans, for example, have picked up more than 145 genes from other species. That's not a lot out of the 20,000 or so in the human genome, but its at least evidence that horizontal gene transfer does occur. Most of these horizontally transferred genes in humans were acquired from bacteria early in human evolution.
Are we better off for it or not? That remains an open question. In terms of the current debate over the safety of genetic engineering, it's worth noting that the natural process is glacially slow compared to the modern purposeful transfer of genes. Still, it's interesting that the process does occur in nature.