This is a question that comes up a lot and everyone seems to have an opinion. Though the question may seem trivial at first glance, there are some serious issues to consider in answering it. And like most things in life, the answer isn't one-size-fits-all either.
In considering the answer, there's two risks to consider. The first is the risk of a card failure. Though CF cards are highly reliable and the chance that one of them will go completely south and lose data is pretty slim, low chance is not the same as no chance. In my career, I've see a couple go bad and even had one go completely bad to the point that even a sophisticated data retrieval company could not pull the data from a card.
I can tell you that that was not a pleasant experience. Actually, it sucked. The images on the card were from a wedding of two lawyers - you can imagine my sense of dread at the prospect of informing them of the loss. Fortunately for me, the images were of the reception and most were backed up by images from my other camera and by that of my second shooter. But for some images of details created by the bride, the client would probably not have known anything was amiss if I hadn't told them. Though it all worked out fine in the end, it still serves as a reminder for me to never trust too much to any one card.
The second risk to consider is that it is possible to lose the cards themselves. While a card in the camera is much less likely to be lost, cards floating in your pocket or in a card carrier can and have been misplaced (fortunately never by me). My answer is to always keep my cards in a secure card wallet and on my person at all times.
Your strategy on how many cards to use should be ultimately guided by two factors: how many CF card slots your camera has and how many images you shoot at a wedding. Let's start with number of CF card slots first.
More and more camera manufacturers these days are including two card slots on their camera bodies. What used to be a top of the line camera only feature is now working it's way down the line to the more prosumer bodies. The benefit to two card slots is that one card can back up the other so if one card becomes irretrievably corrupted, the other remains presumably untouched.
For my D3s, a two card slot body, I shoot RAW to one slot and jpeg to another. I use either 8 or 16 gig cards for my raws - and end up with about 8 to 10 filled cards at the end of a long day. With the jpeg slot on the other hand, one 4 gig card is generally enough to suffice. Using this strategy, I've got back up in case any one card goes bad but I've also got backup in the event that my card wallet may go missing.
Some people, especially those who shoot a lower number of images at a wedding (say on the order of 1,000 images as opposed to my 4,000 to 6,000) are often inclined to put a couple of big (32gig or larger) cards in their camera and never take them out. Seems good since if one card fails, you've got the other there to back it up. The problem I have with this scenario is that if the camera should produce an electrical surge capable of destroying a card, a rare though not undocumented occurrence, this surge is likely to kill both cards - thus negating the benefits of the backup.
My suggestion is in all cases to use multiple primary CF cards - the exact number depends on the number of images you shoot for a wedding. Spreading your wedding out among at least four cards ensures that the loss of any one card won't absolutely kill your coverage of the day.
When working with single slot cameras, I absolutely recommend using multiple CF cards. The fewer images that you tend to shoot at a wedding, the smaller the CF card I recommend. The key here is that you don't want to commit too high a percentage of your images to any one card. If you shoot 1,000 images for the entire wedding, then using cards that hold no more than 200 images ensures that no more than 1/4 of the wedding is on one card. If you shoot with two cameras, your risk is lessened further.
What about the risk of losing cards? Generally, when I hear of a card going missing, it's generally one card. Maybe a card that didn't make it into the card wallet or slipped out of the photographer's pants pocket. I've yet to hear of a case of an entire card wallet disappearing however. (No doubt someone will share one here.)
This then begs the question of backing up cards during the wedding or other event. I'm not a big fan of onsite backup because it's just one more thing to do during a generally frenzied day. Backing up for me is a structured process that best happens when I don't have the stress of the wedding hanging over my head. It's too easy to make a mistake and not back up a card during the wedding and only realize that it didn't get copied over until a couple of weeks go by and another event has been shot over that card. I've seen that happen way too often to even think about it.
Regardless of what I say, this is a topic that has as many answers as there are photographers. There's no one answer here for everyone - just take care not to leave all your eggs in one basket. Redundancy is your best bet for when - not if - your equipment fails.