When I bought my first Digital SLR about 2 years ago Compact Flash cards were, expensive, small and slow. These days it is common place to have 4 - 8 Gig cards.
But be aware, not all cards are created equally. Don't make the mistake of buying on price alone. Make sure you go with a reputable brand. My personal choice at the moment is the Sandisk Extreme III card. It represents both good value for money and performance at 133x speed (the 266x extreme IV is also becoming very cost effective). The Sandisk extreme series of cards are designed for extreme environmental conditions with the professional photographer in mind.