CUSIP stands for "Committee on Uniform Security Identification Procedures." All U.S. securities - stocks, bonds, warrants, puts, calls, etc. - are required to have CUSIP numbers, which are assigned by Standard & Poor's. The first few digits identify the issuer; the last digits identify the individual security.
Finding CUSIP numbers: You can look up CUSIP numbers for stocks, mutual funds, indexes and annuities using Fidelity Investments' Symbol Lookup and other free CUSIP lookups.
Standard & Poor's publishes a comprehensive but expensive CUSIP directory. They also provide Internet access through a database called Access (see www.cusip.com), but a Standard & Poor's rep told me a subscription costs over $4,000 a month(!).
Alternatively, the Mergent's Manuals list a CUSIP numbers for selected bonds; more are available in the Mergent Bond Record: Corporates, Convertibles, Governments, Municipals.