I don't know if there are any CD-RW drives that only work in Windows... it's not like a WinModem, where it uses part of the system RAM. Given any CD-RW, it'll probably work fine in Linux. (I could be wrong)
That said, you may have an easier time of it if you get one of the more well-known and/or respected brands. But then again, I bought the cheapest CD-RW drive I could find (CenDyne, $20 after rebate) and it works just fine.
Since I started using Linux, I always check the side of the box of any computer hardware I buy, just to see whether it says junk like "Requires Windows 98/2000/ME/XP" For most hardware, this claim is bogus, since I know it'll work in Linux anyway, but it's always good to look for the brands that at least acknowledge Linux exists
