Your best music for working out will be something you like and something that energizes you and lifts your mood.
Music with a fast beat (such as dance, techno, and some R&B, rap, popular, and rock) is the most popular type of music for working out, but whatever music you prefer is fine. Keep in mind, though, the faster the beat is, the more quickly you are likely to move during your workout. You can use this fact to manipulate your training. For instance, if you would like to push yourself to perform your cardio more vigorously, choose music with a fast beat. On the other hand, if you tend to move too quickly during weight training, relying more on momentum than muscular strength to lift the weights, pick music that's a bit slower in order to slow yourself down.
mp3 players are generally preferred over CD players, as mp3 players are smaller and basically skip-proof. You can also store more music on them than you can on one CD. Plus, you can rearrange the playlist and order of your mp3s, either on the device itself or on your computer before you download the playlists.
If you've never used an mp3 player before, your workouts give you a good reason to experiment with them. You'll have a much better workout if you can listen to the music you'd like rather than whatever the gym happens to have playing. In fact, people tend to exercise longer, more often, and more vigorously when they are listening to music they like. Moreover, they don't tend to perceive being as tired when they listen to their favorite music while working out. Picking your favorite music for working out and having it at easy access can make achieving the next higher level of fitness that much easier and more enjoyable.