I actually developed an uncanny knack for removing the shrink wrap. Though, it's been so long since I've bought a jewel case CD, I'm not sure I would remember how I did it.
No, wait! I remembered as I was typing that.
I would run my thumbnail back and forth across the spine of the cd where the lid connected. It would create a slice from top to bottom, and then it was easier to peel than a perfectly boiled egg. Sometimes I had to run my nail back and forth a few times depending on the quality of the plastic. But it worked beautifully.