One of the newer trends has been for people to supple CDs with their query letters, or in the most extreme cases, just the CD. Let me explain to you how bad an idea this is: This is a really bad idea. Not only do we need like to have to do extra work, there is nothing I, as a person, like doing more than putting a mysterious disk I got in the mail from a total stranger into my beloved laptop.
Now I've heard sarcasm is hard to detect on the internet, so let me be clear: That last line was sarcastic. It's like attachments, which any agent website will tell you not to send, but so much worse. At least with attachments we can scan them for viruses.
And while we're on the subject: If you send an SASE for the return of your CD, make sure your CD fits in the envelope.