I use a lexar pro card reader, it has both SD and CF card slots and considering it's a usb2 reader it's still pretty quick because of the udma.
The slots are pretty deep and the guides are perfect which is what you'd expect from a pro class device. It didn't cost that much either.
Has anyone got a link to the Lexar one? There seem to be quite a few on t'internet.
Ive just finished picking the pins out of my CF card, courtesy of an e-Blue cardwreckerreader.
The Lexar one is in stock on Amazon at a slightly higher price
http://www.amazon.co.uk/Lexar-Professional-Dual-Slot-Reader/dp/B004P8J1DU
I have a Sandisk one like this, it has a nice secure slot and positive pin engagement, damn quick too
http://www.google.co.uk/products/catalog?hl=en&biw=1259&bih=631&q=sandisk+cf+card+reader&um=1&ie=UTF-8&tbm=shop&cid=1687537274701735372&sa=X&ei=URvqTe-nDcbJhAeClZ26Bg&ved=0CDMQ8wIwAg#

There are a few reviews of the Lexar one on Amazon which say that CF cards other than Lexar, notably Sandisk, either fit badly or not at all. If it was just one person I'd ignore it but it's at least three or four.
Has anybody on here had any problems?