Micro SD cards are the tiny memory cards found in most mobile phones. What's surprising is not just the tiny size, but the fact that they're available in much the same capacities as standard SD cards and at similar prices.
This 4Gb Micro SD card looks big enough here, but is actually the same size as your little fingernail. So why should Micro SD cards find their way into cameras? Olympus seems to have accepted that its xD Picture card format has a limited future, and in its latest compacts it includes an xD/Micro SD adaptor. The adaptor's in the shape of an xD card (which Olympus compacts still use) but it has a slot for pushing in a Micro SD card.
It's a smart move because these are cheaper and more plentiful than xD cards. For example, a 4Gb Micro SDHC card currently costs £10 or less.
But instead of getting a Micro SD card on its own, look out for adaptor bundles like the Kingston 'Mobility' packs. The pack illustrated includes a 4Gb Micro SD card, a standard SD adaptor (so that you can use it in cameras that use standard SD cards), a Mini SD adaptor (which may be more useful in the future) and a USB stick adaptor, so that you can use your Micro SD card as a USB flash drive. Ours cost £16 from Staples, but you can probably do better.