I posted a comment on this in another thread, but really the word need to be spread around.
Look at the recent discovery here made by Mark of sysinternals.com;
http://www.sysinternals.com/blog/2005/10/sony-rootkits-and-digital-rights.html
And a followup is available here;
http://www.sysinternals.com/Blog/
Sony's recent CDs are copy protected, but what you don't know is that when you play them on your PC that the silently install cloaked drivers that are very difficult to remove and open a gaping security hole in your system by allowing other files to use its cloaking routines. This is known as a a rootkit.
Put it this was, this infection form a Sony BMG CD is worse than most viruses you'll find, and creates a backdoor that viruses can use to hide on your system. Sony KNOW what you are listening to, this app tells them.
Basically they use your PC's processor non-stop, are nigh on unremovable and pose a relatively high security threat should virus writers takea advantage of it, which is almost enivatable. So you've been warned and I suggest if you have bought such a CD that you look at the risks and see if it is worth trusting Sony with your computer and giving them your money.