The two great CompactFlash readers have already been mentioned in this thread but I want to share my opinion as well.
The Sandisk Extreme FireWire Reader and the Lexar CompactFlash FireWire Reader are both UDMA compatible and are probably the best options right now (both supporting FireWire800).
A friend of mine had one of those cheap "I read everything" crappy memory readers built-in in his computer and it would take him nearly an hour to import some footage we had shot on the Canon 5D Mark II. I told him to hook up my FireWire800 Sandisk Extreme and the process only took 3 minutes.
Avoid USB-connected memory readers!