I have a D1X and a 320MB Lexar Compact Flash Drive and a 1 GB IBM Microdrive. In most shooting situations, the IBM actually records faster than the CF card does.
As to NEF files, I have set up my camera on a tripod and photographed the same scene (within a very short time span during which there was no change in lighting), with bright sunlight, harsh shadows and lots of objects to check for detail, using NEF, TIF and the high-quality JPG setting. I've then carefully examined the results in PS and in prints, and frankly, I can't see any advantage whatsoever in shooting either in NEF or TIF. Having $10K invested in body, lenses, flash and other accessories, I would not use .jpg if it caused any kind of a visible loss of quality. This was the purpose of my testing.
The problems with JPEGS (.jpg files) occur when you edit, rotate, adjust, etc. and then try to resave them as .jpg files. Never ever resave a .jpg, as there WILL BE a loss of quality. Even rotating a .jpg is a no-no. I shoot in .jpg exclusively, but open the pictures in PS and then immediately convert them to either .tif or .stn (a Genuine Fractals file format....one of many great Photoshop plug-in programs available). Then I do my editing, adjusting, cropping, rotating, etc. using the "lossless" format. I often then resave an edited .tif or .stn file as a .jpg (for storage economy) being careful to change the filename so as to NEVER WRITE OVER THE ORIGINAL WHICH CAME OUT OF THE CAMERA. This way, I always have the original file to go back to, unaltered in any way, and still with the original quality.