Yup, agreed. I normally never take the CF card out of my camera. Having bought my 350D in a local photography store, I decided to order a 4Gb Sandisk Extreme III from Amazon. Unfortunately, I had the camera several days before the CF card and wanted to try out the camera.
Incidentally, I was looking at getting the 20D as there are some excellent deals around at the moment, but decided to compromise the added features for the lighter, smaller and cheaper 350D. If you haven't tried an Extreme III in your 20D, I really recommend it.
In my 350D, I can shoot continuously in RAW - probably 10 to 12 frames before the camera needs to take a breather to store the images. Even then, its under a second. In contrast my old 1Gb IBM Micro Drive will take about four frames before the camera stops to write the images.