Memory Stick and its many variants are the format of choice for Sony products - that is to say, the only choice. Sony's proprietary storage medium is rather inhibiting in that it can only be used in a handful of devices, such as Sony Ericsson mobile phones and Sony PSPs. However, due to the popularity of said products, the Memory Stick has lingered in about 4 different incarnations; I am a PSP owner, so I've had hands-on time with the Pro Duo flavor.
These cards are pricier than alternative SD and other flash cards, however not to the point that one would simply opt not to buy Sony products in the first place. The transfer speed this particular card boasts hinges upon whether or not it features "High Speed" - in which case, can be up to 80 Mbit/s for writing to the device.
Using this in my PSP has proved as simple as utilizing any other storage format or flash card, so in any case, there are no significant flaws when contrasting this with its competitors (though since the MS range is curtailed to Sony gear, it really owns the market).
Most MS Pro Duo's arrive bundled with a MS Pro adapter for use in larger Sony devices.
One thing to be wary of are counterfeits - these seemingly cut-priced Memory Sticks may deceivingly appear to be legitimate products, however any Google search will reveal that there are widespread issues with using knock-off imitations.