You have to choose "Get CD Track Names" from the "Advanced" menu first. Make sure you're connected to the internet first, and your Mac will contact CDDB and submit a disc identification number. CDDB will return the disc information and iTunes will display all the song titles for the CD, even before you import.
CD's do not have track names stored on them (except for very rare CD Text CD's, which no software on the Mac supports anyway). You have to download title information from CDDB for your Mac to know the titles, or enter them yourself by hand.
I was quite surprised with the extent of CDDB. It even knows most promotional and rare import CD's, and some mass-produced bootlegs. The only CD's it doesn't know, obviously, are pirated copies and home-burned CD's. Still, I expect some of the more popular pirated discs, such as those produced in China, are also in the database, as home users can submit info.