A 'Head Unit' is technically the stereo, and the cd changer is a remote device connected to the head unit via a bus cable.
CD changers usually come in either 6, 10 or 12 disc configurations and some are available with mp3 function.
Usually it is sufficient for only the head unit to be cd compatible due to the vast amount of mp3 you can fit on one cd.
Depending on your current car and stereo, you may have either the option to add a CD changer to your existing stereo (head unit), if not you will need to consider whether your car has the industry standard (now) ISO connection that most new stereos come with, whether you would need an adapter, or if you would need professional fitting.
Many head units have pre-outs for connection to amplifiers, cd changer connections, remote control sticks or remotes, telephone mute and mp3/wma functions - some will bluetooth hands free to your mobile phone.
With the exception of amplifiers, speakers, cabling and bluetooth devices you need to keep (generally) to the same maker of equipment, especially with changers unless connecting to a factory fitted stereo.