ahh, you've noticed one of Mac OS X's great shortcomings - awful, totally inadequate built-in CD burning capabilities!
my advice is to go to versiontracker.com or macupdate.com and see what sort of third-party burning apps you like. Toast is the gold standard, but it's expensive. i've had good luck with a little app called DiscBlaze. both of those apps will let you burn ISO-9960 CDs (in other words, a "raw data" format that Mac, Windows, Linux, etc can all read). there are also some options for burning special "hybrid" discs that have two partitions on the CD, one for Mac, and one for PCs. the drawback there is that you can only store half as much data on the disc.
but seriously, for a supposed "digital lifestyle" platform, OS X's built-in CD burning software is laughable.