Blacklisted? Recording everything? C'mon, think about it a little harder. Do you think Dell ... one of the most established and profitable notebook providers ... really cares if people get a CD from them? The CD costs them next to nothing to burn - only the price of the cd itself (less than a penny, I imagine, for them), and the price of the OS License from microsoft (which they buy anyway). Shipping is the only cost - and the potential profit margin in a satisfied customer (as a repeat customer) far outways that.
You pay for the OS. You pay microsoft, actually. Dell is simply trying to cut their costs. If you want it, ask for it, and if they charge you for it you are really being a pushover, unless things have changed quite a bit since my last purchase (a few months back ....).
I didn't want my CD, so I didn't ask for it. I did, however, tell them that my computer didn't come with a remote, and that I wanted one (that's almost exactly what I said) - they sent me one, completely free (shipping and the cost of the remote, which I did't believe I paid for in my original purchase). I didn't lie or anything, for the record - the fact is, they would rather send you a few cheap gifts (or, in the case of the winxp cd, something you really should have gotten to begin with - most users will have to replace their hard drive during the life of their computer, and then the silly re-installation partition is useless unless you go through Dell - that's almost like blackmailing you to get service through them, rather than some other source, if you don't have a warrenty.) than risk losing your future business.