The following assumes you want this open-ended, with no back or sides, just shelves. If your open to other designs, we can address those later.
Shelving is going to depend on what tools you own. If all you have is a hammer, circular saw and drill, you're going to be limited on the design. If that is the case, and this is ONLY a DVD/CD rack, then you could use MDF or a pine with extra vertical support columns. That covers the support issues, it's cheap and easy to put together. Remember, if using those two choices for building material, always prime first, and the paint will look much better.
If you don't want any extra support columns, and this might be used as an equipment rack, then I would use a hardwood(oak, braz.cherry, or a maple). Not saying that the other two mentioned materials won't work if no extra support is used, but why even take the chance. You don't want to be limited on weight if you're taking the time to custom build this unit. Also, if you use the hardwoods, you can stain the unit to match your current decor(I'm a fan of the hardwoods and nice stains).
Like anything, and what was mentioned before, if you cut exotic hardwoods or MDF, use a mask and glasses. That stuff isn't good for your lungs or eyes, but that's just part of the game.
