The wave shield uses SD/MMC cards. They are extraordinarily popular, sometimes even available in grocery stores! They are used in MP3 players, cameras, audio recorders, etc. You can use any card that can store 32 MB ore more. A 4 gigabyte card can hold 25 hours of uncompressed audio for the shield, and costs $12.
The shield kit doesn't come with an SD card but we carry one in the shop that is guaranteed to work. Pretty much any SD card should work but be aware that some cheap cards are 'fakes' and can cause headaches.
To use the SD card interface library you'll need a '328 Arduino. If you have an NG or '168 chipped Arduino we suggest upgrading to a '328. It's easy and inexpensive and you'll be very happy with the 2x RAM and Flash. All UNO's have Atmega328 chips.