I don't think there is any simple answer to this. It seems to me that the actual speed you get would depend quite a bit on a combination of the speed and quality of the chips, circuits and connectors in the device, the speed and quality of the hardware interface used, and the quality of the device drivers. In other words, your local conditions may be just as important as, if not more important than, the format itself.
In your example above, CF was probably faster because it could be accessed relatively directly (assuming a dedicated CF slot), whereas the memory stick had to be channeled through the USB subsystem. My guess is that your new card reader works through USB as well, meaning that all the cards would be affected equally in that respect.
Of course, I could be wrong.
