Try the demo of Ulead's DVD Movie Factory. It does DVD, VCD and SVCD with a menu system, where you can have thumbnails even for VCD and SVCD. It also burns the CD's or DVD's from within the application so no need for Nero or Easy CD Creator.
No. If you want to have multiple videos on a CD other than putting them on the timeline one after the other, you'll need some other application. The advantage of the application I mentioned is once burned to a CD, DVD, you can pick your vids from a menu and thus only play what you want and not have to fast forward to get to what's at the end.
Keep in mind that both Video Factory and Vegas Video are primarily video editors which have a feature that can burn to CD's however adding multiple videos to a CD or DVD is in the realm of "authoring" which is slightly different than editing.