What I know:
1 - Third party XD cards can be formatted to fool the camera into thinking the card is Olympus branded. Google for that.
2 - Panorama mode locks a lot of stuff, namely: exposure, focus and WB. Sometimes it can be FUNDAMENTAL for the post processing software to do it's work properly (think focus lock).
2a) You can achieve this same goal by press holding the AEL/AFL button while you snap, snap and snap. Release it in the end.
2b) You can also program an E-510 (I believe it's the menu option AEL/AFL memory) to press the AEL/AEF button just once in the beginning and also when you finished all snapping. This way you don't have to hold the button, but it is very dangerous if you FORGET to press it at the end of the snapping (every following picture will be locked to your last panoramas exposure).
3) - It's really a rip off by Olympus.
4) - The speed is terrible (even with the fastest ones).
Still I went ahead and bought one Olympus XD 1GB for 12€. It serves me other purposes beside panos: it's a backup in case the CF fails and if I'm at the beach an a pretty picture passes by, I shoot it, move it from the CF to the XD and, if later my wife picks the camera and presses PLAY, I'm not getting a:
"What the HELL is THIS doing here?"
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Duarte Bruno