Hi ellypho, welcome to the forums,
Always? Not at all.
But it's perhaps the most common and easiest way to pass variables, depending.
$_GET if trivial and there aren't many
Cookies if trivial and there aren't many
$_SESSION is another common way but a little trickier until you get used using to them
INSERT into a database table, more over-head and probably only if you want to save across sessions
File Write (eg. XML CSV), more over-head and probably only if you want to save across sessions
IMHO except for $_GET the other ways will be more verbose code.
Or maybe you could write things so there is no need to pass, but include instead?