SD cards are more expensive, but smaller. CF cards are cheap, but you can't use the slot for other peripherals (Wifi, etc).
I would recommend getting an SD card, because you never know if you want a Wifi card or something later on.
As for sizes, 256 mb or up is good. I can fit 4 good quality tv shows (25 mins each at 60 mbs per) on it. Obviously try to get the highest you can afford. You always want more than you expect. Have fun
