I don't think it is illegal to bring CDs into the country, but if you are bringing instruments, and your own CDs in a quantity that would indicate you're going to sell them, that could lead to unpleasant questions as to whether or not you're a gigging musician, and if you have any paid gigs set up in the US, etc. etc. Might be a good idea to think about mailing the CDs to a trusted contact. You could mail the CDs and inserts without jewel cases, and put them in cases when you're over here. It's a crap shoot. You might breeze through with no questions whatsoever.