The cheapest printer I have found to print directly onto CD is the Epson Artisan 50, which comes with labeling software quite adequate for my needs, mostly printing artist and title and maybe a logo. You'll use a lot of ink if you print a colored background. I use inkjet-printable Taiyo Yuden (JVC) CDs, then burn with Toast, though any CD burning software should work.

All this does need a computer of course, so may not exactly suit your needs.