The basic idea of this is that you need to make sure that the tables generated by xtable don't float; instead you should put them in your own floating environment. In the example below, I've generated two side-by-side tables, each within a {minipage} environment and each with their own caption using the \captionof command of the caption package.
I've formatted the tables using booktabs. See How can I use a table generated by R in LaTeX? for more details on this.
\documentclass{article}
\usepackage[utf8]{inputenc}
\usepackage{booktabs}
\usepackage{caption}
\title{Side-by-side xtables}
\author{}
\date{}
\begin{document}
\maketitle
First some R code to create some data.
<<>>=
myData <- matrix(c(19,89,23,23,74,44,16,39,67),ncol=3,byrow=TRUE)
colnames(myData) <- c("A","B","C")
rownames(myData) <- c("1","2","3")
myData2 <- myData * 2
@
Now we place the data in two side-by-side tables:
\begin{table}[htb]
\begin{minipage}{.45\textwidth}
\centering
<<echo=FALSE,results=tex>>=
library("xtable")
print(xtable(myData),
floating=FALSE,
hline.after=NULL,
add.to.row=list(pos=list(-1,0, nrow(myData)),
command=c('\\toprule\n','\\midrule\n','\\bottomrule\n')))
@
\captionof{table}{The first table}
\end{minipage}
\begin{minipage}{.45\textwidth}
\centering
<<echo=FALSE,results=tex>>=
print(xtable(myData2),
floating=FALSE,
hline.after=NULL,
add.to.row=list(pos=list(-1,0, nrow(myData2)),
command=c('\\toprule\n','\\midrule\n','\\bottomrule\n')))
@
\captionof{table}{The second table}
\end{minipage}
\end{table}
\end{document}

longtables side by side independently of Sweave. Because alongtablecan break pages, you can put them beside each other. – Alan Munn Nov 28 '11 at 03:22\captionofcommands to right after the\centeringcommand (before the code that generates the table). – Alan Munn Nov 28 '11 at 03:39longtables I meant to say because they can break pages you can't put them beside each other. (It was probably clear from the context anyway.) – Alan Munn Nov 28 '11 at 03:41