If you want your camera for traveling, a higher-capacity memory card is very handy for storing photos until you can download them to a computer. Once you fill the memory up there may be no way to take further photos until you connect it to a PC or another memory mountable kit and retrieve the photos out of the camera.

CompactFlash memory cards are currently the most popular type of memory card on the market because of their durability and the wide range of storage they offer (from 16 megabytes to 1 gigabyte).

The amount of memory space that gets used by a photo is dependent on the resolution you chose on the Camera. If you take your photos in lower resolution less memory will be used per photo and as you go higher your available memory will be filled up too quickly. Hence you must optimize this setting to conserve memory.

What are these cards?
Memory Cards are small removable modules that are used to store information. These cards are typically comprised of non-volatile flash memory chips and are sometimes referred to as Flash Cards. The term was coined by Toshiba who found that these cards could be erased “in a flash”. These cards can be used, erased, and reused over and over again.
 
CompactFlash (CF Card)
This is currently the most popular removable storage device. The card is about the size of a matchbook and weighs half an ounce. Compact Flash cards are currently being used by Kodak, HP, Nikon, Canon, Epson, Casio Minolta, Panasonic and others. There are two types of CompactFlash Cards. Type I is the original card, and Type II is a thicker card. CF equipment with Type I slots cannot use Type II cards. Equipment with Type II slots can use either Type I or Type II. CompactFlash Type I cards are currently available in storage capacities from 8MB to 1GB.
 
SmartMedia (SM)
SmartMedia is a trademark of Toshiba Corp. for two formats of flash memory. The two formats are called 5V and 3.3V (sometimes marked 3V) after their main supply voltages. The packaging is nearly identical, except for the reversed side of the mechanical orientation notched corner.
 
SmartMedia cards are thin cards that are about the size of a postage stamp. They can be so small because they have no built-in controller. In reality, they are simply memory that has been laminated on a plastic card. The controller has to be built into the equipment. This generally causes no problem. SmartMedia is currently being used by Fuji, Olympus, Toshiba, and others. Smaller versions are expected.

Memory Stick
Memory stick is heavily promoted and used by Sony in their equipment.
 
In typical use Memory Stick is used as a storage media on a portable device, and the contents are then transferred to a computer. For example, a Sony digital camera will store images onto a Memory Stick. The Memory Stick may be removed and plugged into a computer or printer with an appropriate slot so the images may be transferred to the computer or printed.
 
SD Cards:
SD cards are currently only slightly more expensive than Compact Flash, and have greater support in consumer-level devices. SD Memory Cards are usually faster than MMC cards due to their use of 4 data lines, as opposed to the two used by MMC, and are comparable to Compact Flash in terms of speed. SD cards also have a greater memory capacity than MMC cards, with capacities up to 2 GB currently available.
 

xD-Picture Card:
Fuji and Olympus have introduced another memory card option. Their xD-Picture Card at less than one inch square, is even smaller than even the Secure Digital card. These cards have a high storage capacity, with the promise of cards that will hold up to 8 gigabytes. Since Fuji and Olympus were the major supporters of the SmartMedia cards, the introduction of the xD-Picture Card may mean the decline of the SmartMedia card in its current state.
 
Micro Drive:
Microdrives deliver high performance, low power consumption, and reliability in a compact physical package. The cost per megabyte is a lot cheaper and the data transfer rate is faster than 95% of all compact flash cards on the market today. ...
Recently microdrives are finding new application like in Camcorders also. They offer many advantages over traditional tapes and high capacity compared to flash memory.