I have been a member of PaperbackSwap.com for about six months and sent a received several books. You get one credit for every book you send, and are charged one credit for books you receive, with no trading charges. The site prints up a label for you when you get a request, and you can even wrap your book in two pieces of typing paper with the label affixed in exactly the right place.
They have just set up a site for CD's that runs in a similar fashion:
SwapaCD.com :: I like the way that sounds!
Both sites offer referral credits, too (although the referral credit for swapacd isn't quite as generous--your referral has to post 25 CD's before you get credit.)
I haven't swapped CD's in the past, but I've bought a lot on half.com, so I'm going to give this site a try.
PaperbackSwap has a very good selection, so I'm hoping that after a few months SwapaCD will, too.