There was that thread where a guy hooked it up to a lab-grade power meter and found that energy usage spike on page turns was something like 20% longer when the book was being read from a card (either SD or MS) than from the internal memory. Like Natch says, some cards faired better than others it seemed, but any card used more juice than the internal memory.
Now 20% more power usage means you've have to charge it every 4,000 pages instead of 5,000, so it's not like it's going to make the Reader unusable or something.