Comparing two point shapefiles that contain lat/longs and compute distance using ArcGIS Desktop?

I have 2 sets of point shapefiles in ArcGIS Desktop (group A and B), each set has around 1000 entries that contain lat/long.

What I want to do is compare Group A against Group B and figure out for every point in Group A what point in Group B is the closest and what that distance is.

What would be the easiest way to do this in ArcGIS Desktop?