Having been in the computer business for 20 years and being an employee of Intel, you think I would understand Moore's law and not be surprised by the decrease in price of FLASH memory, but I'm amazed. You can now get a 16 GB CF card for $79.
If you're shooting JPEG at the highest quality with a 40D , this card can hold approximately 4571 photos! If you're shooting RAW the card can hold about 1290 photos!
Here's the product on Amazon (no rebate required):
Transcend - Flash memory card - 16 GB - 133x - CompactFlash
If you think this many photos on a single card is too many, buy a couple of the 8 GB versions for $39 each:
Transcend - Flash memory card - 8 GB - 133x - CompactFlash
(These are CF cards. If you just ordered a Rebel XSi, that uses SD cards, these will NOT fit.)
Technical note regarding 16 GB flash memory cards and Canon DSLRs: As of 3/14/08 most Canon DSLRs can not format a CF card for 16 GB. The in-camera format tool maxes out at 8 GB. You can get around this by formatting the card on your PC or Mac for 16GB (be sure and specify Fat32 format) - the camera then recognizes the full '16 GB'. Hopefully Canon will release a software upgrade to support formatting to 16GB. Here's an article how to format a CF card for 16 GB (Fat32) on your PC.