The fastest SD cards are faster than the fastest CF cards. In both cases not all cards are created equal...
It isn't always the biggest factor in the time you wait for photos to be written. Some cameras have large memory buffers which mean it doesn't matter if you card is slow, because unless you are firing off shot after shot you don't get held up by card writing delays.
Today's digital cameras are much better in this regard to what they were three years ago or so.
For an excellent comparison of speeds of different CF cards take a look here:
http://www.robgalbraith.com/bins/multi_page.asp?cid=6007I don't know if anyone has done anything similar with SD cards.
The length of the shutter lag is not normally effected by the card speed.
To answer your initial question, the choice between CF and SD shouldn't really come into you buying decision because of card speeds.