I put together a DVD towards the end of last year. Definitely a steep learning curve for the first attempt, but I learnt some good lessons from it!
Definitely burn the DVDs prior to any kind of labelling, and I understand DVD-R have the widest compatibility (for reference, I used Ritek DVD-Rs and have a Sony DVD rewriter, info on DVD-Rs http://www.cd-rmedia.co.uk/cgi-bin2/details.pl?id=satin4x - UK only). Unfortunately, the first batch were lower quality disks and even though the first few were fine, the latter disks didn't work particularly well (if at all). I'm not sure why, but my theory is that the DVD writer became hotter over time, and this heat affected the way the disk was burnt. For the second batch, I burnt one at a time (4x as well, so about 17 minutes for a full disk) with half hour or so break in between. Not the fastest way of doing it, but I don't think home DVD writers are designed for mass production runs!
I have labelled the disks, and the feedback so far with the new batch has been very positive. No-one has reported problems with the disks, and I think the label makes them look that much more professional. If you want to label DVDs, have a look at Avery (http://www.avery.com/afterburner/). The applicator works well, and with a bit of effort to line the labels up properly in the printer and the applicator itself they look perfect.
However, time will tell as to how the labels hold up. I guess the average disk is only going to be played every so often so it could be months or years before problems come to light. It's obviously no coincidence that DVDs you buy in the shops aren't labelled, the disc is physically marked. Disc printers still look quite expensive, and I've heard the quality of printable discs isn't that high.
For the meantime, I'll stick with labelling until the other available methods become more financially viable.
Blue Skies,
Iain