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Here is an article that explains the different classes. http://sdcard-speed-guide.articles.r-tt.com/
Essentially, the higher the number, the faster the card. A Class 2 SD card has a write speed of about 2MB/s, a class 4 SD card is about 4 Mb/s, and so on. I generally buy Class 6 cards, but to be perfectly honest, I rarely notice the difference. Better to have too much than too little is my general creed, so I'd rather have the faster card for the occasional times I actually need it.