IMO a lot depends on what kind of thing you are looking for, and what you want it to do in detail.
Personally I favor OpenOffice.org's Base application for any kind of database because of the flexibility. But it would be nothing but frustration to someone who doesn't have at least some kind of experience in database design.

Perhaps you might find something useful at Freeware Home. Scroll the lefthand panel down to home & hobby, then click either Collection Organizers or CDs (the + indicates new additions to the category)

I use Access purely because that is what I am used to designing a database in at work.

It does depend what you want from it as to what fields you insert, for instance do you want just a simple alphabetical list (Beethoven, Sympony No. X, Y, Z etc.) or if you want to have fields for Conductor, Orchestra, Soloist, Record Label, Year, or in the case of dvds, Cast, Director etc.  Do you want to sort records for all recordings by Klemperer or all recordings by RLPO for example?  It's quite important to design it for what you think you might need it for.

There is an Access Tutorial, perhaps you might like to look at that first and have a play around?   Unfortunately if you have a large collection the inputting of data can be very time consuming and I confess I have fallen along the wayside at inputting new purchases.