I know theres always a slight delay, but I'm wondering if its makes a difference depending on the quality I select?

If the quality you select changes the final size of the file, then yes it will affect the speed. Take some pictures of the same scene at different quality levels and compare the file sizes.

Because of the buffering, you shouldn't notice a write delay until the internal buffer is full. The larger the images' file sizes, the faster you fill that buffer and consequently, the earlier you will notice a write delay.

My buddy has one of the Canon SLRs. He has something like an 8 or 16mb buffer and his storage media is a (1gb) microdrive. IIRC, he can take about 20 high quality images at the fastest repeat speed before the buffer is filled up. At that point, the camera won't take another shot until one of the previous images has completed writing to disk, when it will snap another frame. Each image is ~2mb I believe.

Its a Fuji branded 256MB XD card so it should be faster than a Microdrive I would have though.

Just googled for "microdrive speed" and got this link that you may find interesting: http://www.d-store.com/d-store/Canon/D30/D30compactflasandmicrodrivespeed.htm

I.e. does the delay affect the actual photo? It seems silly to have a camera able to take photos with a shutter speed of 1/1000th sec, but have an additonal delay.

Are we talking about the same thing? The delay is a write delay; it has nothing to do with the shutter speed... The camera will take the image at the shutter speed it (or you) choose, store that in buffer memory, then write it to your storage card.