I used a Merlin. Combined with the HV20 this is still pretty small, avoiding too many people starting to gaze at you ;-) Sometimes kids are still gazing at the weird balance weight dangling under the camera but in more crowdy environments like this market it goes unnoticed.

Thanks, I'm using FCS2 and use "export using compressor". Then I select a slightly customized setting, basically a h264 with keyframes every 5 seconds, avg datarate 3.3Mbps and some color corrections to offset the color changes that I noticed when using this compressor. Then I let it run overnight, a HD movie like this will take about 10 hours to compress with this configuration.

The Merlin works great
%u2022 works properly
%u2022small, not too impressive during informal shoots like this, and fits in my (large) pocket of my jacket, even with the HV20 WA lens attached.
%u2022 camera comes off easily, great when you want a quick handheld shot

I also see some points to improve
%u2022 wind sensitive. Wind will blow the camera slanted, and even worse it varies with the direction you look.
%u2022 One hand operation (for instance needed when I enter the cafe halfway this film) is still troublesome. I think a better grip might help this.
%u2022 Lots of finetuning needed all the time. Although inherent to the system, I think the simple sliding attachment system between cam and merlin increases this problem and can be improved.
%u2022 System tends to swing out during fast turns. I think this is a balance problem and my guess is that this could be prevented by more advanced balancing.

I never used the cheaper solutions except that I once tried to simulate a steadicam with a tripod. But I think YES:

1. the gimbal has to be really good, it is there where all unwanted motion is filtered out. You need quite some small and very smooth ball bearings at that point
2. balancing is crucial, the closer you can get the center of mass (COM) to the gimbal the better the stabilization
3. The closer you get the COM to the gimbal the more critical the finetuning of the steadicam becomes
4. because of 3, you want a system without loose parts or play, and you want easy to access fine-tune dials.

Put this all together and I think you will end up with something pretty expensive like the merlin. Especially since this is no mass-production product...