All my music bought on internet is burned in double and stored in those cd books with sleeves.
For the DVDs and music, i've thought and searched long and wide for a tall, thin book shelf, but in the end, i chose two big sturdy plastic boxes, at a DIY store. The boxes themselves are stored in my room, in the closet. It's not the most practical but at least it's one bit of mess organized.
If you're short on space, one of my original ideas was to get rid of the plastic boxes of my cds and put them in the recycling bin, and keep the cds in plastic sleeves i would organize by artist with A to Z dividers, all stored in a rectangular box.