Should I return these ebay items?

I think you should contact the seller. Maybe they will offer you some sort of solution. I understand how you feel but everyone makes mistakes.

To be honest, it was only one duplicate, and you don't want to return the cds. I don't really think you would be entitled to a refund, even a partial, so why not pass on the duplicate to someone else and keep the ones you want.

If you want a partial refund you would need to send back the cd that was duplicated otherwise how would the seller know that you are not trying to rip them off by saying you got two of the same cd and want some of your money back.
If you don't want to return the cd I would just give the duplicate to someone you know or sell it on ebay and make a little money on it.
If you are willing to send it back contact the seller and work out an arrangement.

At the end of the day it is ilegal to distribute pirated media of any kind.
If what you recieved is not what you bidded for then firstly email the seller and explain what you are not happy about ( this most of the time is enough for the seller to offer a refund of some sort or send a replacement ), take a photo of the cds you recieved to send to the seller as i doubt they will ask you to send a pirated copy back to them.
If the seller is unhelpful and you paid via paypal you can start an item not as recieved dispute to claim the full amount back which you paid ( making it in the sellers best interest to sort the problem out ) you also have the law on your side with this one because you have the name and address of this person and can very easily notify the autorities that they are producing pirated media so this gives you another bargining tool to use ( though make it a last resort ).

When something goes wrong within a transaction it is the sellers duty to sort it out especially when the fault is at their end like this is.

hopefully that is some help for you.
Don't forget you are the innocent party here and should not feel bad for wanting what you paid for.

Was this a big lot of CDs, or just a few CDs? I would say that you probably should just give away or sell the one duplicate. If you haven't left feedback yet, I would recommend contacting the seller and letting them know that there was a duplicate, and seeing if they want to rectify the situation. If not, then your feedback can reflect that fact.