I've found that creating a graphic identity or look on your cover letter, resume, business card, and follow up letters is very important. Make your whole set match and speak the whole of your creative identity.
I mostly hear that sending CDs (unless they're packaged in some ingenius and creative way) is a waste and therefore only include a link to my portfolio website and an indication that a CD is available. However since you are doing one, it was stressed to me in my entire time at design school to never have more than 15-20 images and always put the best first. Creative Directors have no time for you, so make the time they spend be special. Wow the fuck out of them before they get bored of looking.
Cover letter: Focus on you skills as an asset by being an outside of the field designer. For example "I have experience with <a variety of fine art media> that allows me to approach design problems in new and creative
ways." Make it concise and only a page.