Yale's own advice is only send a CD if you are exceptionally talented for a high school student and music is an important part of your application. They also say that sending something that is not of a high enough quality can work against you: Supplementary Materials | Application to Yale College | Freshmen | Office of Undergraduate Admissions
I'm a sophomore now, and I sent a CD when I applied, but I don't remember them being quite so explicit about the 'exceptionally talented' part then, as I don't think I would have sent mine if I had seen it. Perhaps they have been getting too many recordings that do nothing either way for the applicant. Certainly with the number of very competent musicians here, you can imagine the amount of time it would have taken if they all had sent something.
I don't know how helpful it is for your application, but sending a supplement does seem to get you on the radar screen of the music dept, which might be helpful if you want advice about the auditions for YSO or one of the Bands.
After I applied I got a nice letter from someone in the music dept basically just saying "We're glad you applied to Yale. We liked your supplement, and you made good choices with an unusual piece" and then a more personal bit saying she had seen me play in a concert before and talking a bit about that and a problem she remembered with my performance (arrgh!). They also sent a bunch of information about music opportunities at Yale, although it was nothing you couldn't find out elsewhere. After I was accepted I got more information and another letter and some emails. That was a bit awkward because, although I wanted to keep playing, it was always my intention to scale back my music committment in college since I don't enjoy it that much and I'm not particularly talented, but they were really helpful discussing what I could fit in, and they couldn't have been more pleasant about it or free with their advice and information.