The capacity compatibility concerns (and there the alliteration ends) differ from USB hard drives and memory cards. Normally the limits on memory cards are based upon what the card reader in a device can access. Starting with the oldest to newest standards, SD>SDHC>SDXC
I've just double checked, and the original SD standard was up to 2Gb (though a few 4Gb cards that were NOT SDHC were made), then you've got 2Gb to 32Gb for SDHC, and finally SDXC takes you up to Tb capacities!
Hard drive compatibility varies from one device to another, but I'd not expect any recent hardware to have issues with 2Tb. As for the 8Tb or more monsters crashing into the market, I think it'll be a while before I can afford one of those to test our models!