Before every photoshoot, one of the items on our checklist is to format the CF cards in-camera. We always check first to make sure that the previous shoot on the CF cards is backed up in at least 3 different places (hard drive, CD, online - you can never be too careful) before we format the cards.
One little tip about formatting the cards in-camera before a shoot. Immediately after you format the card, it's a good idea to change the menu item to something other than "Format". I'm not sure how it is on Nikons, but on Canon cameras, whenever you press the "Menu" button, it always goes to the last thing you selected in the menu.
If you left it on "Format" and hit the "Set" button while in the menu, you are just a couple of clicks away from erasing everything on your card. When you are running and gunning, like at a wedding, it's all too easy to forget. The LAST thing you want to do is to accidentally format a card in the middle of a shoot.
After formatting a card in the camera, I'll usually move the menu selection to the top of the Tools page,
then tab over to the next screen and select something harmless like "Highlight Alert" (in case I want to turn off the blinking highlight warning when showing the image on the back of the camera to a client.). This greatly reduces the possibility of dumb old me accidentally formatting the card.
It takes less than a few seconds to do this, and once you get into the habit of doing it, you'll save yourself a lot of potential aggravation.