I had the same problem (~2000 CDs, ).
 
I bought 2 1000-CD capacity wood shelving units from Hammacher
Schlemmer, and I'm happy with he results.  The 2 units cost $189 each,
which is a couple of hundred dollars less than the IKEA solution.  They
come in cherry or oak finishes.    (HS also has 500-CD units.)
 
I like the Hammacher Schlemmer cases because they're solid wood, not
particle board, and because they're designed with CD-sized shelves. 
Here's the catalog listing, with a picture:
 
http://www.hammacher.com/publish/65426.asp?promo=search 
 
They were easy to assemble.  I did have one problem--the backboard
sections were damaged in shipping.   HS sent free replacements, and
included a $25 gift certificate.
 
Regards,
Bill Carter