Disco is the multi-session media burning application that features pretty "smoke" (that I've never gotten to work), automatic indexing, support for VIDEO_TS and AUDIO_TS folders and more (we've written about Disco several times). It's $30US as a download, but soon will be available as a $40US "deluxe" boxed edition. What do you get for $10US? Bundled CD and DVD disc labeling software that includes several templates (you can make your own as well). As for me, I'm content to grab a Sharpie.
Disco requires OS 10.4.3 or later.