"Say I want to use my Cell phone SD card to play mp3's in the boat."
It depends on your cell phone. Most phones use the MINI SD and wont. I have a Treo 650 which uses a reg. SD and mine will interchange with my radio, cameras, etc... *
"1) Do I need to get one of these radios like stink shows with the slot for the SD card? How much do they cost and is there a cheaper alternative?"
Way cheaper than anything you have priced I promise. Its hard to get a decent CD player (even a Pioneer or equivalent) for under 120 bucks
The radio I pictured above is only 79.00!!! 
Here is the link:
http://www.walmart.com/catalog/produ...uct_id=4744710
Now they even have one with Blue tooth for 150!! Sweet!
http://www.walmart.com/catalog/produ...uct_id=5645793
I know the price is low and I was skeptical at first too because these are the people (Virtual Reality Sound) *who actually bought out the "Road master" name. They were POS electronics for sure. Not the VR folks and here is why:
 I decided to try it for the $$ though and after owning all the big names in stereo equipment (Pioneer, JVC, Sony, Clarion, *etc...) I have to say I am VERY impressed with it. I have had one in my truck for over a year now and I want one for the boat next. Very nice !!
BTW the POINEER cd player will come out for one of these to go in. ;)