No, just get the Sandisk. I heard that Sony and SanDisk co-developed the memory stick format, and even still, you wouldn't notice any difference if they didn't. I have a 32MB Sony and a 128MB SanDisk (regular MS's that I use or my camera) and they even look exactly the same, except for the model numbers and company logos.
When it comes to memory sticks (and generally any form of flash storage), brand usually doesn't matter that much. I'd just go ahead and get the cheapest one you can find.
I bought the blue 1 GB from jr.com for 149.88 shipped so it was an ok deal. They are also selling the yellow gaming verison for 119.88 shipped but its not in stock now. I couldn't wait so I spent the extra 30 on the blue they had in stock.