There are two types of external CD burners available: USB & Firewire. While the USB drives are cheaper, the much faster Firewire drives eliminate the problem of buffer overruns.
What's a buffer overrun? The computer sends stuff to the burner in chunks. If the speed of the connection is not fast enough, the burner will be left high & dry; resulting in possible errors in the burn.
The small extra expense of getting a Firewire drive is worth it.
Speaking of buffers... Get a burner with the largest buffer you can afford.
People will often recommend that you get a burner that reads and write at bleeding-edge speeds. For most people, the extra expense of getting one of the latest drives truly isn't worth it. Getting a nice, cheap, middle-of-the-road device will make you happy.
Here's a link to Apple's page of burners that are completely compatible with iTunes (it's a shorter list than all burners compatible with OS X, but will give you the best overall experience):
http://www.apple.com/itunes/compatibility/