If you are looking at getting a 4GB SD and/or an 8GB CF card, then it isn't going to matter where you put your music/movies/maps/etc.
I have both a 4GB SD and CF and put my A/V stuff on one and the GPS stuff on the other just to keep it organized. I guess SD is a little more convenient since they are smaller and most of the aluminum cases have slots for extra SD cards. I don't think there is much difference in speed; although, I have read several posts in which SD is slightly faster than CF in the Ax.
The SD cards will probably be a bit cheaper than CF cards ( comparing same size and speed ) since a lot of point-n-shoot digicams are using SD now for storage instead of CF.