Copy Paste is the quickest way.

But before you do that you should make little coloured register rectangles at top left and bottom right of your artwork.

These should correspond to the bounds of your Photoshop file.

Copy them with the bits of your Illie file that you need and you can quickly build up a Photoshop file in as many layers as you need and everything in perfect register.

Just delete the register boxes from the Photoshop file when you no longer need them.

But before you do that you should make little coloured register rectangles at top left and bottom right of your artwork.

These should correspond to the bounds of your Photoshop file.

Copy them with the bits of your Illie file that you need and you can quickly build up a Photoshop file in as many layers as you need and everything in perfect register.

Just delete the register boxes from the Photoshop file when you no longer need them.

That's how I do it, except I use an "invisible" rectangle as my registration guide. Like Steve says, make it the same size as your Photoshop canvas, surrounding all of your Illustrator objects. Give it a fill and stroke of None, and copy it along with each set of layer contents. Photoshop sees the rectangle as the boundary of your pasted content, but there are no pixels to delete afterward.

• Copy your illustrator artwork, and paste this as a smart object in illustrator
• Right click on the smart object and choose "New Smart Object Via Copy" do NOT use another method to duplicate the smart object or all your smart obeject will be the same and you need them to be indpendant of each other.
• Make a new smart object for each layer and rename

Option click each smart object to edit in illustrator turn off the layer option of print for all layers except one (that one will not be in italics)

Repeat this for each layer and you will have a Phothsop file all in register. You can bitmap all the smart objects if you desire.

The reason I use colour instead of None is that you can see afterwards whether anything is out of register.

Occasionally a single pixel of misalignment can make a difference.

You can also use layer alignment to make doubly sure that everything is ok.

 

If you use None rectangles you can do none of this.

All true and good points, of course. But seeing as the no-stroke/fill rectangle method has worked flawlessly for me virtually every time, (if it's sized correctly, it can't paste out of register), I opt to save the steps.