I came across this article on destroying CDs via one of the mailing lists I'm subscribed to. Has an interesting discussion on how to destroy unwanted/unneeded CDs when you don't need them anymore and don't want anybody to find and peek at their contents.
One of their words of caution:
NEVER try to destroy a disc by bending it between your fingers in an attempt to break it. Some will bend, but not break. Some will break in two. Some, however will shatter into flying shards of polycarbonate - ouch! This is dangerous, not only to yourself, but to any spouses, children, or pets which happen to be in the immediate vicinity.
Shredding works well, and so does microwaving (although your microwave might not like it). Melting it down works too, but we all know how nasty the smell of burning plastic is. Sanding works too.
There are a couple of quick ways to make a pressed CD, or a CD-R for that matter, useless. Take it out to the sidewalk and throw it data side down; put your foot on top of it and rub it around for a bit. That will do the trick for most purposes. Tossing it on a belt sander has the same effect, but watch your fingers.