Mac OS X Snow Leopard: The Missing Manual (Missing Manuals)

C.11. Audio CD AutoPlay

This option ”once a part of the QuickTime Settings control panel ”has moved. When you insert a music CD, the iTunes program opens automatically ( assuming you haven't changed the settings in the CDs & DVDs panel of System Preferences).

In the iTunes Preferences window, go to the General panel and choose Begin Playing from the "On CD Insert" pop-up menu.