@Zelig, so a 2.5" external would be faster than a 3.5" external of the same file size?
Hm, that's actually an interesting question, but not a terribly practical one. Following comparisons are just using bare drives, specs are are easier to look up and you can buy your own enclosure - external drives are just drives that include enclosures.
A 2.5" drive of identical technology and RPM
should be faster than an equivalent 3.5" drive of the same size, but this is a comparison that almost never happens.
The fastest consumer 2.5" is the 750GB WD Scorpio Black for $107. You can get a 1.5TB 3.5" drive for $90, so I dunno in what scenario the speed difference between a 750GB 2.5" drive and a 750GB 3.5" drive is relevant.
My basic rundown of when you should get what drives:
SSD - OS/apps/games/documents go on here, always. Get whatever size you need to hold all your stuff.
2.5" HDD - No point in getting one of these in a computer any more. Appropriate externally if you need more space (for media) than an SSD gives when you travel, or you want to regularly backup when you travel. No point in getting anything smaller than 1TB.
3.5" HDD - Internal or external as convenient for media storage or backup. No point in getting anything smaller than 2TB.