I, personally, go with the faster CF cards (ex. UDMA / 300x speed), not because they're faster in my camera, but because it's faster to download pictures from them onto my computer.
I don't think my Canon 40D takes advantage of the fact that my CF card is UDMA, so I can actually use a CF card of any speed for my camera.
However, when I get back to my laptop with my 1000s of pictures (don't ask me why I take 1000s of pictures...), downloading them onto my computer is TONS faster. However, you need a UDMA card reader to take advantage of the faster download speeds of the UDMA CF card.
For example, it used to take me a painful 45-60 minutes to empty my 8GB CF card. Now, with the faster UDMA CF cards, it takes me about 10 minutes to download the same number of pictures.