I use two different external readers, one Sandisk Extreme Firewire 800 and one Lexar UDMA USB2 reader. With the right cards, they are very fast and can be used at the same time. Both are UDMA. Sometimes I add a FW400 Sandisk reader, when I need to download a lot of cards, but it's slower.
See the compact flash database at robgalbraith.com for a lot more info on cards, readers, and how they interact.