Because of the way normalizing works, you run a much greater risk of introducing clipping in to the audio signal and ruining the sound and, often times, not really making the files sound very similar in volume. Replay Gain does a much better job of this and is also a lot less likely to ruin the sound.
MJ/MC has a Replay Gain analyzation feature built in to it. It analyzes each file and then saves the gain adjustment info to the tags, rather than physically altering the file. Then when you enable the Replay Gain DSP, it uses this info to "sound level" the tracks on playback. Also, this analyzation only works for playback in MJ/MC.
I believe MC9 also has a feature to burn an audio CD using the current playback settings, so if you have analyzed the files you want to burn and enable the Replay Gain DSP you should get a fairly uniform level across the tracks on the CD.
If you want to burn a "sound leveled" data CD, you probably would want to use the MP3Gain program. It does what I've described above, but rather than saving the gain adjustment info to the tags, it physically alters the files. So, it is possible that you could apply too high of a gain and ruin the files, though MachineHead mentioned that the latest version has an "undo" feature. In any event, if you use MP3Gain, it's best to make sure you have back ups of the files you want to work with just in case something goes horribly wrong.
Rob