I used the same option as RDunn, but I didn't worry about looks and went completely low cost and DIY since I store everything downstairs in my cool and fairly dry basement family room.
Lay it out on a piece of paper, figure out how many board feet you need and make a trip to home depot is all that's needed. Each one of my units is 4 feet wide and either 6 or 8 feet tall. I put supports in the middle of each shelf space for structural support and to keep the 1x6s from warping too much over time. The height of each shelf is exactly the height of a jewel case (whether it's a CD jewel case or a DVD case) plus maybe an extra half inch. I think I've made 5 of them now, but every time I need another, I just add another. Each takes about an hour to make...and maybe about $20 to $30 in materials. A couple of 'ell' brackets with wall anchors are needed to stabilize each unit against the wall.
In combo with this, I spindle all my CDRs. However, I'm planning soon on archiving electronically via external harddrives. Same with DVDs, although these aren't spindled. For people that say hard drive failure is the problem, the answer is to backup in two or more places. At between $100 and $200 per TB, I can afford to keep it all on multiple drives in case of failure of one the hard drives. When one craps out, buy a new one and backup again. Keep that process going until technology develops even better options.
On a related note, one of my favorite investments I've made over the past several years though is my 160GB ipod. It's not so much the ipod, which I do love, but having 160GB of storage space in my pocket opens up my entire music collection to me. Whereas in the past, I wouldn't care to take alot of my old CDs off the shelf in order to listen in the car or...say...in my portable CD player (since there was always something NEW that I'd recently bought to listen to), now the ipod has it all stored. I literally have everything I ever wanted to listen to from birth to today with me wherever I go. The key is 160GB of space, which gives me enough to keep, in practical terms, everything I ever wanted to hear in my pocket. Can't live without it and it goes with me EVERYWHERE, including to the toilet!