I don't know which CD sites you're ordering from, but Japan Post offers surface mail to most countries. While very slow, it's cheaper than FedEx or DHL.

One problem with Amazon is that they now charge shipping based on the weight instead of a fixed sum per item, at least if you're shipping to Europe. This has the side-effect that many items can't be preordered if you don't live in Japan because Amazon doesn't know the weight of the item.