A definition from Wikipedia (http://en.wikipedia.org/wiki/Loudness_war):
"Loudness war" or "loudness race" is the popular name given to the trend of increasing audio levels on CDs and in digital audio files since the early 1990s, which many critics believe reduces sound quality and so too listener's enjoyment. Increasing loudness was first reported[by whom?] as early as the 1940s with respect to mastering practices for 7" singles. The maximum peak level of analog recordings such as these is limited by varying specifications of electronic equipment along the chain from source to listener, including vinyl record and cassette players.
I found a website that allows you to check the dynamic range of albums before you commit your money:
http://dr.loudness-war.info/
While an interesting topic, I have ceased to buy CD's. My last one was probably ten years ago. My work entails sitting all day long at a computer with headphones on and after work I agree to listen to things (and to people) only when I am done wrestling with tinnitus.
I seldom buy CDs, but I think it's good to be informed. That being said, dynamic range isn't everything, merely a decent indicator.