Test for speed..... a good test is at http://www.flashmemorytoolkit.com and the free limited version does at least run a realistic file write/read test to a card, testing it for 1 to 15 MByte files. The paid version also can run a low level test to yield a proper indication of true write/read speeds. It can be useless or misleading to run this test on average USB connected card readers, need to use a higher speed bus reader like the card sockets built into notebook computers.
Brands.... I use Sandisk, Kingston, ADATA, Team and misc shop branded cards and have had no problems. The warning is not to buy off eBay for any unexpected super cheap price. It seems that 95% of those really cheap eBay sales are Chinese forgeries and the chips are any of faulty, slow, not the correct capacity etc or maybe all of those - but the labels look nice.
Size.... generally the idea is to use a size that will allow a busy day's shooting without having to change cards, then each night back at home (or the hotel when travelling) unload the card to a storage device or netbook computer and do an in-camera format to clean it off for the next day. Always carry a spare card in case of screw-ups during the day. I've settled on ADATA 4 gig for my LX3 and went to SanDisk 8 gig (just in case I use more RAW) for my E-PL1 and now 16 gig for my E-PL5. Never filled any during a busy day.
If wanting to travel light on a holiday then it's best to work out how best to set the camera for jpegs only then work out a sensible bunch of cards to buy that might get you through the week or whatever. Better to use a collection of say 4 gig or 8 gig cards rather than a 32 gig card. That way you always have spares in case of a problem. Buy the card size that works out cheapest price per gig.
Card Problems..... sometimes a card screws up and fails to work in a camera or the files can't be recovered easily. That's when recovery programs become useful to try and retrieve everything from the card. I have found this freebie to be consistently good at recovery http://www.pcinspector.de/smartrecovery/info.htm?language=1 and in the rare case when that did not work for some video files I found that the paid version of http://www.flashmemorytoolkit.com was the only one I tried (amongst about 6 favourites) that could get everything back perfectly (apart of course from the corrupted file that caused the problem).
After an event like that it is wise to do a proper format of the card in the computer via this program http://www.sdcard.org/consumers/formatter_3/ as again this is the "official" formatter. Then follow that of course with a format in camera to put everything in its right place.
WiFi Cards.... A Toshiba FlashAir card came to me as a freebie when buying the E-PL5 body. It has a proper communication protocol and can set the card's name and password so it acts as a local secure wifi point. Newer cameras do have specific wifi items in the menu, but this particular card worked in all the cameras at home that had SDHC card capability, it also works plugged into the card slot in my netbook. All it needs is power to the card and it will boot up the wifi connection. The only precaution is that earlier cameras will go to sleep or power down after a menu set period and lose the wifi connection. Current cameras either detect the card or are menu set to hold the power always on despite sleep settings, and only power off (with a warning) when the camera power button is used.
To me that looks like Class 10 performance where 5 Mbyte files are concerned. This image from the earlier version of Flash Memory Toolkit, the V2 version now test up to 15 Mbyte files size.