Personally, I'm quite fond of the XD format, the 1mb cards are now pretty cheap as well. I've only ever seen one failure & funnilly enough, that was only yesterday - a student brought it in.
SD is probably the format makers seem to be standardising on tho. Which is OK I suppose? I do remember something about their being a risk with suspiciously cheap high speed cards sold on Ebay & the like - seems they often turned out to be cheap normal-spec cards relabelled. Personally tho, I've never had a problem with the format.
Compact Flash is more problematic for me. Good cards yes but not for the slap-dash user - the socket pins are prone to damage/bending & I've had to extact jammed/broken pins from cards several times now, then arrange expensive repairs to the cameras.
A friend & former colleague has had a succession of duff high-end CF cards exchanged after failing to work properly in her DSLR's. For an archaeological photographer recording ongoing excavations, that is not a good thing.
XD cards come in 3 basic formats - Type H, Type M & Olympus do one with onboard support for its panoramic shot options. All are fully interchangable between the makes. IIRC, type M has the faster data transfer rate but for the current Fuji's, this is only really an issue if you are shooting more than several (3-5?) minutes of video in a single go, You can get glitches with the type-H as the buffering moves faster than the card can handle. For images, even in RAW, IME there has never been a great lag problem.
Also IIRC, the XD has the lowest power consumption. Although again, the recent improvements in batteries & hardware in other formats might negate this?
