I use CF in all of my gadgets: mp3 player, Digital Camera and in Axim.
The difference? Well, CF is cheaper, availble up to 6GB (vs SD 512MB) and it is faster than SD (because of it's parralel ATA interface), but it require more power.
Also SD is SDMI-compatible (based on CPRM) and that's why I do not like it.
also you may read
this