What memory card type do I need for recording video with the Nikon D800/D800E?
The Nikon D800/D800E has to memory card slots: one for CF (Compact Flash) cards and one for SD (Secure Digital) cards. The is no XQD card like the D4 has.
CompactFlash historically offered much higher capacities, faster transfer speeds and a better price/capacity ratio than SD cards but at the cost of a larger size. Until now, Nikon's professional DSLR's used CF whereas the consumer line preferred the smaller SD cards. The innovation of SD cards has now caught up on CF cards and offers large capacity and high speeds. The D800 supports both, so it is now a matter of personal preference and availability. There is no effect on the quality of the movies of photos recorded on them whatsoever.
The SD card slot works with standard SD, SDHC and SDHX type SD cards. Note that the SDXC format is not supported by Mac OS. The CF card slot supports only CF type I cards, not the thicker type II cards or microdrives.
In practice, not all memory card brands and models that comply with the above standard will work. Many users seem to have problems with Kingston cards in the D800, for example. In the D800 manual you can find brand en type of some approved memory cards. For any other card you will have to take your chances. My old Transcend CF card works just fine with movie recording.
Get your memory cards from a reliable source and not from eBay, as most of the cards sold there are counterfeit. These counterfeit cards are a lot cheaper for a reason: they generally tend to use memory chips that are smaller, slower and less durable.
In short, I would recommend a Sandisk/Transcend/Lexar brand card of either CF or SD format, with a class 6 minimum and a (maximum) write speed of at least 45MB/s.