PCMCIA Compact Flash adapters won't cut it due to the interface limitations. Most laptops you will run Vista on come with a Cardbus port (or 2) and due to all the devices built into these laptops, 9 times out of 10, you never use the port. You can slap it into the laptop and forget that it is even there for the most part, except for the speed increase, ESPECIALLY if you are doing anything that would typically cause a SWAP FRENZY like running many virtual machines on a laptop.
USB keys are handy when they aren't too slow for ReadyBoost (remember, not all USB keys are created equal). The only downside is that they typically will stick out like a sore thumb drive.
I've had the best performance with formatting my Lexar Lightning 4GB stick with FAT16 with 64K clusters. Why? ReadyBoost.sfcache is just one big file and there is no need for all the features of FAT32 or NTFS. I'm still curious why they didn't do ReadyBoost at the block level instead of the file level.
Either way, one thing that most people do not know is that ReadyBoost compresses all the content and typically gets really good compression ratios. It is almost like "Stacker"-on-the-fly for virtual ram. Sort of.
Another trick, now that VMWare Workstation 6.0 supports USB 2.0 in guest devices: Dedicated ReadyBoost devices for your guest machines. I am still working on trying out that idea but it should make Vista guests and Longhorn guests run faster overall. You can also get around the limit of one ReadyBoost device overall this way.