There can be a huge difference. As previously stated, stick with a class 10 card to be sure you have a level of quality and speed. Generally, USB drives do not record video or other media very well, and most likely will fail after being used a few times. SD cards are best when they are SDXC for recording 4k footage with audio.
The easy answer is yes
There are a ton of variations in SD cards and thumb drives... Stick with a Class 10 card and research whether or not the read/write speeds are not inflated.
Memory comes in many flavors it's hard to tell but most of the times you can get a good deal at Microcenter
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