Erasing SD Card contents and personal data
The other answers are a little misleading.

First, it doesn't really matter from a security standpoint whether you've got things stored on the SD card or on the internal storage.  The SD card is easier to remove and read outside the phone, but the internal storage can be read as well (most easily from the device itself but also from a PC).

The second thing is that I would expect this wipe to be insecure, i.e., file deletion rather than zeroing of the storage.  (I haven't checked myself.)  I recommend using a program like Eraser to zero your SD card.  I don't have a good recommendation for the device storage, unfortunately.