If anyone bought this from Amazon (shipped from and sold by Amazon), and didn't get the soundtrack, you got ripped off. The product pages for both 360 and PS3 versions state that they come with the soundtrack cds; if you didn't get them, contact Amazon to resolve the problem. They are supposed to all come that way.
Now if you bought from a 3rd parter seller, all bets are off and you're pretty much screwed.
I just received my PS3 version from Amazon (shipped from and sold by Amazon), and it included the soundtrack CDs, shrinkwrapped to the game itself. I previously bought the 360 version from gamestop, and it obviously was new and included the cds (I never buy "gutted", or opened "new" games from Gamestop; once opened, they aren't new anymore, no matter what the employees try to tell you!).
My advice is that you can either purchase it from gamestop (on sale for 29.99), where you can see the item in person (and make SURE it includes the soundtrack cds, and is sealed!), or buy it from Amazon. But if you purchase from Amazon, make sure it isn't a 3rd party seller, because if so you have no guarantees. As long as Amazon has the notation about the game coming with the soundtrack cds at the time you order, you should be fine ordering from them.