Something like 80% of the Sandisk cards on eBay are fake, and crap. I've had a fake Sandisk before (from an Amazon Marketplace seller) and it was totally pants. Slow and lost files. So make sure yours is genuine.
As for speeds, heres a link from my bookmarks (you can tell I do my homework):
http://www.robgalbraith.com/bins/cam...?cid=6007-9257
That's just specific to the 40D (other cams on other pages for anyone else interested). I have Sandisk Extreme III's, the new 2008 model, 30MB/s (200x). Really quite cheap, and as you can see ranks very well there when you sort the speed in jpeg.
CF speed makes a huge difference in my eyes. Not just for write (clears the buffer quicker, camera won't take photos quicker, and the buffer is around 60 images in jpeg), but it really helps when going through the photos. When you do action photos, and take hundreds, a slow card slows things down.
Also for downloading. A decent Sandisk extreme reader (the USB series, not the crazy priced firewire one) are capable of 20MB/s or 30MB/s depending on the one you choose. It means it takes just seconds to download hundreds of photos. So in my eyes good CF is always important. Just make sure it's genuine.
I got my CF's from
www.picstop.co.uk I actually got two 4GB Extreme III 30MB/s for just £17.99 each, a pricing error I think as they are a fair bit more now, and I only ordered a week later. Still, pretty good prices.
p.s. anyone else feel the urge to write sandisc sometimes? Silly American language confusing me.