A complete set of Debian 4.0 on CD and DVD consists of 292 CDs and 39 DVDs. If you've downloaded or bought all 331 discs, here's how you can throw 324 of them away. Or, how to pick the right ones to get in the first place.
First, the one disc that is all you really need for Debian 4.0: The multi-arch DVD! This is the neatest disc available for etch, it can boot on x86 systems, both 32 bit (i386) and 64 bit (amd64), as well as on powerpcs. It will detect the architecture and automatically boot the right one. It contains enough software to install a nice desktop using only the DVD, no network needed. And it includes the source code to all that software on the same DVD. This DVD is perfect for giving out at conferences, or to friends, or for that desert island scenario, and it's really the only Debian disc you need.
If you want a second Debian disc, I recommend the netinst CD. This disc is under 200 megabytes in size and is designed to be written to a 3" mini-CD. Much easier to carry around than a full-size CD, so it's great for those Debian installs that you didn't expect. It's also a handy rescue disc (just boot with "rescue").
Four other CDs are of some interest, to round out your collection. The multi-arch CD has the same software as the netinst CD, but it's a full-size CD, that supports the same three architectures as the multi-arch DVD. The first CD from the CD set can install a Gnome desktop system without accessing the network and is a good general-purpose CD. The KDE CD and XFCE CD provide some choice in which desktop environment you install.
Finally, one other CD merits mention. The businesscard CD is a tiny but full-featured Debian CD that can be written to a square or "hockey rink" shaped disc that is sized the same as a business card. This can be an eye-catching giveaway, if you can get the businesscard CDs produced in bulk on the cheap (if you do, please let me know). My experience with putting them in a wallet though is that they won't last more than a few weeks. If you want to have Debian installation/rescue media you can carry with you everywhere, you'll have better luck with an inexpensive bootable USB keychain.
The other 324 discs are only of interest to archivists, completists, and those in certian oddball scenarios.