As previously mentioned (Cassettes & The Art Of Mix Tape), mix tapes were my thing as a younger being.
Muxtape.com is the modern equivalent for the web generation, allowing you to upload 12 songs (ooh, make sure you have the copyright.. yeah). Your compilation can then be played anywhere you go, provided that places has internet access and speakers.
It's a nice idea, but carrying a CD around (or USB key) isn't that much hassle. A CD probably has more chance of getting played at a party, and more receptively received by a DJ than a muxtape URL. Then again it's nice to know your twelve favorite songs are always there for you when you need them.