The post popular of memory formats, Compact Flash cards are amongst the cheapest/megabyte form of storage. They range from a scant few megabytes to 14 gig. A solid state device they are very reliable. (Please note that not all cameras support compact flash cards with capacities greater than 2 Gig)
Microdrives seem appealing at first. They are usually the cheapest/megabtye form of storage. However they have major drawbacks. First and foremost, you can't use them at high altitude. They are rated at only 10,000 feet. After that their heads may crash. Also, from a purely unscientific survey, it appears more people complain that microdrives crash, even under normal contiditions, than their solid state counterparts.
Leave it to SONY to not learn from history. They created their own format, which offers little technological advantage and lots of disadvantages. ASide from the fact that mostly only SONY cameras use them, their capacities do not rival their compact flash equivalents. To exaserbate the issue, memory sticks tend to cost more as well.
How small do you need a memory card? The multimedia/SD cards try to answer this. Personally, I feel memory cards are small enough. They're too easy to lose as is, so who needs them smaller? There is a gray line between Multimedia cards and SD cards, the latter of which adds security features, so I recommend checking you camera's manual for exact compatibility requirements.
These cards are slowly being phased out. I recommend not purchasing a camera that requires it.
Are All Cards Created the Same?
Be aware the answer to this question is no, but the difference in cards may or may not make a difference in your camera. Cards are rated for speed. A faster card like the Lexar 80x line may not work any faster in a slower camera or computer reader. While my camera and home desktop are lightening fast, my laptop has an incredibly slow built in reader. Even though I have a 40x card, it take almost 45 minutes to download a full 2 Gig card. A similar download on my desktop, which takes advantage of the faster card, take approxiately 10 minutes.
Also, pay attention to the warrenty. If I am trusting my work to a tiny 1 inch card, I want to know the company has faith in the card. The series of cards I buy from Lexar have a lifetime warrenty. One I hope to never have to use.