Yeah, you probably do want all 3 CDs. Technically, you could get by without them all, but if you have the luxury, get them all. Just start it downloading and then go to bed
Also, that's not too bad when you compare to Windows. How many CDs do you have for Windows when you take into account ALL your software. 1 for OS, 1 for Office, 1 for Dreamweaver/Flash/Fireworks, 1 for... now consider that your 3 CDs pretty much replace ALL of that!
Want even more fun? Forget about CDs and how many megs of applications, and figure out how much $ it cost to get all that. Now consider how much you've spent on Linux!
Man I love Linux...
(edit: I should add that I do spend a good chunk of $ buying distros, joining the mandrakeclub and donating to projects... but the point is that I don't HAVE to)