Can the Sony Alpha 200 take memory stick PRO duo as well as compact flash?
Yes it does with a certain condition. The A200 has a slot that only reads compact flash cards, but the A200 ships with a MS Pro Duo to Compact flash adapter card. You can put a MSPD card into it and it works fine. Sony confirms it will work up to 8GB. I have an A100 and have tried 32MB, 1GB, 2GB and 4GB MSPD cards in the adapter and all have worked fine. That being said, there is no reason to go out and buy MSPD cards for this camera. CF cards (get at least a 66x card, but 133x and 266x speeds will be faster) are considerably cheaper than MSPD cards. I found 4GB CF cards to be the ideal spot at this time. 133x or faster cards can be found for as low as $10 and unless you shoot lots of RAW photos, you can get upwards of 900 10MP pictures in fine (best) quality on a 4GB card. Page 23 of your manual shows how the MSPD card is used: http://www.docs.sony.
