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The Data Loader is specifically designed for transferring large volumes of data into Salesforce, making it the ideal tool for data migration tasks. It allows users to insert, update, upsert, and delete records in batches, supporting various data formats, which is critical when handling bulk data uploads.

Using Data Loader, you can also map fields from your existing database to those in Salesforce, ensuring accuracy and consistency during the migration process. The tool operates via a user-friendly interface or command-line operation, catering to different user preferences and scenarios.

In contrast, options like Process Builder focus on automating business processes and workflows, not data migration. AppExchange is a marketplace for apps that can enhance Salesforce but is not a specific tool for data migration. Likewise, Lightning App Builder is used to create custom pages within Salesforce, rather than to facilitate data transfers. Thus, Data Loader stands out as the most relevant choice for migrating data into Salesforce.