..this is from a Sega CD FAQ (think I pulled it from Gamefaqs or somewhere similar).
SEGA CDX (1994)
The Sega CDX is similar to the X'Eye in that it plays standard Genesis carts as well as most Sega CDs. Its advantage is the size -- about the size of a portable CD player. The unit was portable (Sega even made a carrying case for it), but still required a television or monitor to play. SRP of the CDX was $399. There were three CDs included as pack-ins:
Sega Classics V (Streets of Rage, Shinobi, Golden Axe, Columns, Super Monaco GP)
Ecco the Dolphin CD
The CDX also served as a standalone battery-operated CD player. Front-mounted audio control buttons can fully operate the CD player, so that a TV hookup is not necessary.
There were a couple design problems that make the CDX incompatible with some Genesis/Sega CD hardware. The controller ports are not positioned the same way as they are on a Sega Genesis, so items requiring the use of both ports simultaneously (e.g. Four-Way Play) will not work on the CDX without the use of two controller extension cords. One other common complaint is that the various I/O cords (controllers, headphones, A/V) input to three different sides of the device, thereby increasing its footprint. It's not uncommon for the cables to get tangled this way.
There are a few Sega-CD titles that are not compatible with the CDX:
Jurassic Park (reportedly works, but takes a very long time to load)
Who Shot Johnny Rock?