The only difference is the 3rd-psrty memory cards are not as reliable as an official SONY card. If you buy a 3rd party card and it screws up, you should be able to take it back to the store you got it from under warranty. The obvious disadvantage with this is that you lose all your saves.

The official SONY memory cards on the other hand are garunteed to work and you shouldn't have any problems whatsoever (also, some of those 3rd party ones look terrible h34r:" class="inlineimg" /> ).

If you are ever in any doubt about these things, just think of it this way, you get what you pay for