Although the price was a bit prohibitive launching at $399 USD in 1994 it was never the less a gorgeous addition to any Sega fans console collection. The Sega CDX was so small that it could actually be used as a portable CD player powered by two double A batteries. The front of the unit had the CD control buttons and the left side had the headphone jacks and volume scroll wheel. This feature wasn't used very much as the CDX had no skip protection and would skip if bumped slightly and the battery life was pretty bad unless high end Lithium cells were used.
Who are we kidding though no one bought this thing to be used as a disc man this thing shines as one of the best consoles Sega ever produced. This sucker can play all of your Genesis carts with the cart slot in the rear of the unit as well as play most of your Sega CD games. I personally do not know every game that has trouble being played on the CDX but it may be prudent to do a little googling to find out of its compatible with all the Sega CD games you want to play. I do know that there's issues with Android Assault that I and others have experienced first hand. The game loads up and plays just fine but after you die it freezes before loading the continue screen. I'm not sure what other games have issues but that's the only one I've personally ran into myself.
Another question that comes up often with the Sega CDX is weather or not it works with the Sega 32X. Yes it does. I've personally tested it out with a few different games and the 32X has no problem at all working with a Sega CDX. The only slight issue is the CD flip top lid won't open all the way with the 32X inserted into the cart slot. It also has balance issues may want to tilt backwards if its not lying on a flat even surface. Of course with the 32X you'll end up having to use two different AC adapters but hey, that's better than needing three right?
The best feature is it's size. If you've got a full shelf loaded with consoles this sucker will save you tons of space and it runs off one AC adapter to boot! Make sure that you're using the correct power supply as you don't want to damage this bad boy. The voltage and amperage information is displayed on a sticker on the bottom of the unit make sure the AC adapter you're using matches those specifications as not doing so can fry your system. Something you should do with every system.
You can find these online for around $100 - $120 which is pretty steep for a 15 year old system for some people. The size, convenience and reliability made it worth while for my situation and I've enjoyed many hours of excellent gaming on my Sega CDX.