CompactFlash can be *much* faster in cameras that support the new UDMA cards.
See the performance tests on this page for the Sony A700 for one example of how CF cards can be much faster than any Secure Digital card would test at (around 40MB/Second in this camera).
You'll also need a Firewire UDMA card reader if you want max throughput using one with a reader, too. Secure Digital cards are nowhere near as fast.
I'm thinking about getting one of these new Transcend 300x SLC CompactFlash cards for use in my Sony A700. It clocks at around 35MB/Second write speeds and 45MB/Second read speeds in a Lexar Firewire 800 UDMA Card reader, outperforming Lexar's 300x UDMA card in the same reader. See the second part of the first set of results showing the Lexar and Transcend 300x cards in more than one UDMA capable Firewire reader: