Making a CD with audio files can involve two kinds of CDs. One type is a data CD, which is suitable for reading on other computers. The other type is an audio CD, which is suitable for playing on audio CD players. There isn't an obvious free, cross-platform application available, but there some specialist tools you can use. Infrarecorder & cdrtfe are good tools for Windows. Burn is available for Mac OSX, and Brasero is a great solution for Linux.
Creating a music CD for audio CD players, to sell as a grassroots fundraising activity
Using data CDs to exchange or archive the audio files of a research project
These applications may offer more features than inbuilt CD burning applications
Might not be as reliable or have as good support as inbuilt tools for CD burning in Mac and Windows