I have the Saleae and it's great. It uses burst mode over USB 2.0, so it can sample its max 26Mhz all day long. Software is nice and clean. I like it.
It's limited, 8 leads, and 26Mhz. I've never had any need to go over that, but if you are trying to directly sample USB or something like that you'll get over. Mostly I use it for debugging interfaces with new IC's. SPI, I2C, One Wire, UART...
As for the memory. I'm usually trying to get a decent sample of data for analysis so I can see what's going on. If you think about it, 2Mhz sampling for 2 seconds is 4Mbits. 4Kbits is such a small sample even at a minor 2Mhz sampling rate it's hardly worth it. I'm assuming they have some kind of compression scheme and they only log sample changes, if that's the case, I have no idea how long you could sample for and it would change depending on your rate of change.