File > "Append or Link" > navigate to the blend file > Object > "thing you want to import". Note, it seems you have to be appending the object for it to work, as appending the thing itself (i.e. the mesh, armature, etc.) doesn't seem to work. Think of the object as a container that can hold a mesh, camera, armature, lamp, or whatever, and the container is what you're appending, not the contents.