>I want to know the best and the most convenient way to migrate the whole data includes: - Security and permission - Users and memberships - All of the databases and ..

Best method to migrate data and all objects related to particular database is  by using backup and restore method.Perhaps since you want to migrate whole database to new instance you can backup all user and system databases and restore it on new SQL Server instance

Backup database on current server and copy it to new server and restore it there.

You have to backup system database and restore it on new instance.[How to backup and restore system databases][1]. First do backup and restore of system databases.

Backing up and restoring system databases would provide you all logins, jobs and packages stored in MSDB to new instance. New server would also include complete securables and permissions

SQL server 2005 is out of mainstream support its highly advisable to upgrade to latest SQL server version or if you have to stay on 2005 make sure all SQL Server instances are patched to SP4.


  [1]: http://msdn.microsoft.com/en-gb/library/ms190190%28v=sql.90%29.aspx
  [2]: http://msdn.microsoft.com/en-gb/library/ms187858%28v=sql.90%29.aspx
  [3]: https://support.microsoft.com/kb/918992/en-gb