Hey Fatparrot...a really hot CD is probably compressed (or at the very least, limited) quite a bit to be as hot as it is.
When analog signals were run hot to magnetic tape, the tape would still accept the signal (up to a point), but it would compress them naturally. This is the analog tape saturation/compression that many people love (especially for rock music). It was still compression, but people seemed to think that it was more natural sounding. I think the volume level of LP's was limited because loud mastering volume would cause the needle to jump from the groove (I think...I don't know for sure).
Digital signals can only be so hot...they distort when they reach their peak volume. There is no natural analog-like compression that takes place...instead the signal breaks up and distorts badly. I assume most modern, louder CDs are using that 0db point as a maximum...making sure that the peaks of the recording don't hit that distortion point. A very dynamic, uncompressed recording will have a lower average volume because they need to allow that headroom to avoid distortion. For example...the average level of MFSL CDs is usually lower than standard mass market versions because they don't seem to use as much (if any) compression on the master...they lower the level a bit and allow the full dynamic range of the recording to show. They allow you control the volume with your amp & preamp (as it should be). Most modern, mass-market CDs will usually try be as loud as possible (at the request of the record labels). I believe the idea is that people think a louder CD "sounds better" and the louder volume level will also sound "stronger" on the radio. Many mastering engineers think this trend has gone way too far...to the point that it hurts the music (you could probably do a web search on this topic and find some info).
ALL CD's have the same maximum volume level. If a CD is much louder than others, it was probably compressed quite a bit while recording, mixing, mastering, or all three. This is especially true if it's louder than most modern CDs, because their average levels are already very high. A loud CD's average volume is much higher because the signal has been compressed (or limited) to a point that it has very few dynamic peaks. This allows them to raise the overall volume because they don't have any dynamic peaks left to breach the threshold and cause distortion.
I don't know if I did a very good job of explaining this, but I hope you get the general idea. If you're interested, you might be able to find some on-line interviews with some mastering engineers...I often see them mention this topic in interviews. Some refuse to master CDs to that overly-compressed point, but I've read that others (the ones that do most of the big labels' mastering) tell the clients, "Okay...this is as loud as I can make it without compromising the signal. If I make it any louder we'll lose dynamics, etc. It's your call....what do you want me to do?". He went on to say that most of the label reps tell him to master it louder. Oh well...