They are different form factors. CompactFlash come in two types, Type I and Type II. The Type II is thicker. IBM Microdrives are Type II CompactFlash devices. You can get up to 1GB by using a Microdrive.
Smartmedia I have no experience with, but it does have a smaller physical size I believe. I think this tops out at 128MB.
It all depends on what you are planning to use it for. Many digital cameras use CompactFlash - some only take the Type I cards. (Sony uses memory stick).
