For those with Sandisk and Lexar memory cards, the biggest problem with them is that the quality is not consistent from card to card. I have 2 Sandisk 4GB Duo Mark 2 cards (they're a light blue colour) that are absolute ass. Pathetic read/write speeds that lag just about any game I try. I have a Sandisk Extreme 2 8GB Mark 2 that plays like butter. I've had a friend with the exact same light blue Sandisk card that I have, with read/write speeds close to the Extreme 2. I've tried Lexar cards that are terrible, and a few months later another one that was fine. Clearly their suppliers vary, like the Kingston SDHC cards. (Another brand that varies remarkably.)
The only consistent quality control you can be sure of is the Sony branded sticks. Not a single problem with any of them, from 1GB all the way to the 32GB one.