CompactFlash (CF)
CompactFlash offers one major advantage over the competition. It offers the highest data storage capacity. CF also offers higher read/write speeds than some of its competitors. However take into consideration that it is also the largest removable memory card format on the market. Not many compact cameras use Compact Flash anymore, with most electing to go with smaller formats, so generally this won't be an option unless you're buying an SLR.
CF cards comes in two sizes, Type I and Type II. Type II cards are larger and can contain miniature hard drives within them. Type I cards are about the same size as Smart Media cards, but four times thicker. CF cards will operate at both 3.3V and 5V. The voltage refers to how much power the media card draws from the camera. Obviously, the lower the voltage, the less power needed by the card.
CF cards are currently available in 16MB, 32MB, 64MB, 128MB, 256MB, 512MB, 1GB, 2GB, 4GB, 8GB and 16GB increments. A 512MB card will cost roughly $15 while a larger 4GB card is a little pricier, at around $60.
Secure Digital (SD)
The modern day king of flash memory, most manufacturers these days support SD cards. They are significantly smaller than CF cards (SDs are about the size of a postage stamp size and weigh around 2 grams), and come in capacities up to 8GB.
SD cards were designed with built-in cryptographic technology for protected content, to ensure secure distribution of copyright data. The card's namesake security readiness is now a moot point, however. Though SD was intended to protect the music industry by incorporating the Secure Digital Music Initiative's digital rights management and copy-protection scheme, the specification was publicly cracked shortly after its publication, and the SDMI consortium is no longer active.
SD cards cost roughly the same as CF cards, with a 512MB unit setting you back about $15 and a 8GB about $125.