If you are getting an "SD Err" message on your GoPro and know that you have an SD card in your camera, your SD card needs to be formatted on the GoPro. This seems to be common when first using a new SD card on a Hero2. This is a very short and easy process to complete.
Warning...this will delete the entire contents of your SD card and cannot be undone, so be sure that you have nothing important on the card first

With the Hero1:
Enter the settings menu by pushing the power/menu button until "SET" appears on the screen. Then push the shutter button (top one) to enter the menu. From there press the power/menu button until "ALL" appears. Push the shutter button once again to enter the "delete all files and format sd card" menu. From here, "ALL" will blink for 5 seconds, and while it is blinking, you must push the shutter button again. Your SD card will now be formatted

With the Hero2:
You will do the same as above, except the final option appears to be "Delete All" on the menu according to the manual.