I bought Rocksmith today, and like many other Rocksmith buyers around Europe, my copy didn't come with a CD-key. It seems like Ubisoft made a huge mistake somewhere along the packaging line, as shown by the number of people complaining about it on the official ubisoft forums. http://forums.ubi.com/showthread.php/718433-no-cd-key-Forums/page6
Just a heads-up to anyone thinking about buying the PC version, be aware that you might have to deal with Ubisoft customer support and wait until they email you a CD-key. I'm not sure if this applies to the copies of Rocksmith sold in the US, since everyone who's complaining so far lives in Europe.
Edit: I've gotten my key from customer support now, took about 5 hours from when I first filed my ticket.