Yeah, nothing really comes with an SD card anymore. BUT, if it did come with one, it would be a cheap-y, generic brand small capacity card, and if you want to take any video, or have decent photography speeds, you will need one of the pricier, 'High Speed' cards. I myself got the highly recommended and top-rated 16gb SanDisk 'Extreme' card. (I also plan on getting a 32gb or 64gb, for when I want to have enough storage for longer videos.) You want to look for a card that is NOT a 'micro SD', or if it is, it comes with an equally high quality Adapter to the regular-size SD. Also, if you want high-speed snapshots and faster video playback, the 'Ultra' or 'Extreme' CLASS 10 are a MUST. They need to be at LEAST 30MBPS, which makes your shutter speed faster. It's worth the few extra bucks.
Yes... gone are the days when a memory card was included. However, this does mean you can choose exactly what you want/need instead of having something that doesn't meet your needs floating around too. Amazon has a great selection so you shouldn't have any trouble finding a good one.
Dear Brian: yes, this is VERY normal; in fact, i cannot think of a single camera that comes with a memory card in it's original box (just the camera itself), other than ones in which come in some kind of a 'package' deal, such as the ones you might see on amazon, that include the camera, and several other items you may want, such as a bag, an sd card, an extra battery, etc. most cameras you buy today do not generally include an sd card; probably because everyone has such vastly different 'needs', as far as an sd card is concerned, so rather than supply a 'basic' sd card, they just let the customer/consumer pick up one of their own. hope this helps! love, joyce