There's currently no built-in way.

There's a feature request for this on the Unity Feedback Forum which you could add your vote to: http://feedback.unity3d.com/pages/15792-unity/suggestions/163341-physics-layer-based-ignore-collision

In the meantime, you could use this neat collision manager script on the wiki, written by Ryan Scott.

This is kind of the same question as this one, which I think I've answered, although it has actually been asked later than this one ^^.

I used this with Kinematic Rigidbodies (that weren't controlled by physics) and used OnTriggerEnter instead of OnCollisionEnter, but it may work in this case also.

If you're looking to make all objects of the same class not collide you could create a new "myClass" tag for them and in the OnCollisionEnter function add:

function OnCollisionEnter (col : Collider) {
	if (col.gameObject.tag == "myClass") {
	} else {
		Destroy(gameObject);
	}
}

If you want only some instances of this class ignore and not others, you can change that to:

function OnCollisionEnter (col : Collider) {
	if (col.gameObject.tag == "myClass") {
		if (!ignoreCollision) {
			Destroy(gameObject);
		}
	} else {
		Destroy(gameObject);
	}
}

then add the ignoreCollision variable to the class' script:

private var ignoreCollision : boolean = false;

To set an instance of the class to be ignored, you can create a function in the class' script:

function SetIgnoreCollision() {
ignoreCollision = false;
}

and then call it upon instantiation in whatever script handles that:

newMyClass = Instantiate(myClass, Vector3(0,0,0), Quaternion.identity);
newMyClass.SendMessage("SetIgnoreCollision");

Right now i am doing this:

function OnCollisionEnter(collision : Collision) {

if (collision.collider) {
	if(collision.gameObject.tag == "Bullet")
	{
		Physics.IgnoreCollision(rigidBody.collider,collision.collider);

	}
	if(collision.gameObject.tag == "Player")
	{
	}
}

}

Don't know if that is "efficient" but works...