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It will certainly be fast enough for games because although programs are stored on your SD card they actually run in the section of main memory allocated to Programs. Thus all a slow card will do is to delay (very slightly) the time a program takes to load and starts to run.
Videos, on the other hand, will probably be run from the card.
A new SD card will come already formatted. You can check this by using Start>Settings>System>Memory> Storage Card. If a (say) 256Mb card shows something like 247Mb capacity, this small reduction is due to the formatting. I have never had to format any CF or SD card bought new.
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