If you format the card with your Windows PC - especially the large SD cards > 2GB - the PC will put a system information folder and a recycle bin (when using the pro versions of XP and Vista) on the device. The PC thinks it is a hard drive after all. Copying and erasing will leave fragments of files laying around (due to the nature of FAT file systems) which can cause issues.
Use the camera to format the card - the processor in the camera has specific routines to format the card for the best performance. Here is a link that explains the care and feeing of Flash memory.
Digital Lab Workshops - Photoshop, Printmaking, Photography
August 2004 - "Digital Film and Memory Card Care"
Read the rest of Jerry's tips also - good stuff here. Nice guy too - director of the digital lab at Santa Fe Workshops for 13 years.
PDL