I may have been misunderstood by saying 'better' for Sony Memory stick. It was meant with irony meaning that Sony like to portray added value in terms of sexy styling and leading technology etc to appear up market and therefore able to charge that little bit more (or in this case that big bit more!)
In terms of performance there is no real difference between the types and therefore the cheapest is as good as the most expensive. The only advantages in cameras or voice recorders comes down to physical size which allows for maximum miniaturisation.
Compact flash has the advantage of the controller built into the card which makes the design of its parent equipment easier. It is also the cheapest flash. I paid $99 for 256 MB for the camera - recently, the same was $80. Flash memory is more expensive than the RAM which goes in the pc.
Naturally all of these are solid state flash memory so the old systems of small batteries to keep the cards alive are thankfully gone.