I'd been thinking about this for a while and my conclusions may be of interest. I'm going out to ride the Raid Alpine soon with Marmot Tours and as part of that trip I'm planning to shoot quite a bit of video. The helmet and handheld cameras that I use store images on either micro SDHC or SDHC cards and these don't come that cheap. The thing is you can store A LOT of stuff on them but this can only mean one thing, there is then the potential to lose A LOT of stuff. The temptation also exists, because of their high capacity, to fill them up and to have many day's worth of video/photos on a single card.
Potential problems are as follows:
1. Faulty card which subsequently develops read errors, especially if one is using cheap cards (see previous note on cards).
2. Damage to a card making it impossible to read.
3. Theft of camera and therefore any card that is installed in it, complete with video files.
Having pondered the above I decided to bite the bullet and splash out on a bunch of cards to take with me and I'm intending to change the camera cards every day and store them apart. I'm going to change the cards no matter how little footage they have on them and then of course just copy the files off when I get home and I've also obviously got the cards for any future trips.
If the cameras gets nicked/trashed or whatever I should still have the majority of my video files safe and sound, the camera can be replaced by the insurers, the really valuable items are on the cards, the files themselves.
My advice is don't skimp on memory cards, don't buy cheap ones, change them often and keep them safe.