the Difference between SD Slim and just SD is just the size, the Slim version was released some time after the original SD, it was designed to be smaller.
That link also comes with a passcard, which is good :-)
The M3 comes with both it's own video/music support and with a built in moonshell, which allows MP3 playback and much better quality video playback.
If you don't want any skipping when playing videos I'd suggest getting a fast SD card.
CF cards did use to have a higher compatability a few months ago, however SD cards have now caught up and they both have about the same compatability with DS and GBA games.
As for which is better for movie compatabilty I would say either SD or CF, but probably not miniSD.
You would want to get a fast SD/CF card to prevent any problems with playback.
I do know of a list that has some brands of cards known to work well, I will see if I can find it and post back when I do.
**EDIT**
http://m3wiki.emuparadise.org/index.php/Media_Card This contains a list of SD and CF acrds known to work, as you are interested in watching video, I recommend you find a card which has scored a 5 on the "Castlevania test"
I have a SanDisk 1GB Ultra II CF Card which i score a 5 on the test. and it works flawlessly with video. (It helps if a defragment the card after putting the video on too)
