I prefer the larger size of the CF cards. They have a solid feel to them without having to worry about being too gentle with their handling. I can shove them in my pocket knowing they'll be safe.
Recently I had an emergency (on my part) and needed to find a CF card to purchase because I had forgotten all my back ups at home. Like I said, the emergency was on my part. Out in the middle of nowhere I am going from location to location trying to find an 8G CF card. RadioShack® only had a couple of 4G cards and only after the clerk went looking. When I first asked he gave me this quizzical look that spoke volumes; "What the heck is a CF card? I've never heard of one. Maybe he means an SD card."
The same was true at the nearby Wal-Mart®. I was sure they would have them there. After all, I had purchased mine at my local branch in the past, and they had plenty of them. Without luck I went next door to Target® and found one lonely 4G all by its lonesome. The same quizzical look came across their clerk's face when I asked if they had any 8G CF cards.
If you have been following the latest offerings from camera manufacturers you will notice they have gone from CF cards to dual CF/SD cards to just SD cards. Canon's latest model, the EOS 6D has opted for the smaller SD cards. So if your camera uses CF cards... watch out. Stock up on cards because I have a feeling they're going bye-bye.
The only upside to this is that SD cards are cheaper on a per megabyte to dollar ratio. As they become more popular I assume the prices will go down as storage capacities go up. Too bad Canon and Nikon don't offer hardware upgrades on older CF cameras. "For a nominal fee we will convert your camera to the popular SD format. Just send it to us and we'll get it back to you in about a year."
Oh, well. It doesn't hurt to dream... mmm... 6D...