Unlike what a lot of people are saying in this thread, there is actually a lot of variation between different SD (or micro, or mini, or whatever) drives.
What type of card are you looking for? You said R4, and if it's an original R4 like I have, then it can only handle microSD cards, not microSDHC. That means the largest card you can get is 2GB. There's a thread somewhere on this forum that outlines which ones are fastest. Really just about any will work, but there's one or two games that need the fastest cards to play without lag.
If it's a newer card that can handle SDHC, that means you can have up to a 32GB card. You're also pretty much set for all games no matter which ones you get because they have a higher transfer speed than regular SD cards. Some are slower than others, but no matter what it'll be fast enough for the DS to play flawlessly. So really, the question you need to ask is, how long are you willing to wait to load the ROM's onto the card to begin with? To me, it doesn't matter at all because you only do that once, so I just have a really slow (Class 4) one. If you are interested, the fastest are claimed as being the SanDisk and Samsung brands.
To my knowledge, no cards support SDXC, so you shouldn't buy one of those. See below.
Others may have experienced differently, so feel free to chime in.