I generally prefer having games already on a disc mailed to me but that isn't an option here so, believe it or not, I have never tried to burn game to CD that is larger then the typical 700 MB size. So, how does one download a pair of games in a single 1.9 G file like Gothic II and III combined pack onto a CD (actually, three CDs :) )?

Burn them to DVD.
Why do you feel the need to burn them at all? Backup?

You either burn them as a DVD as Wishbone said or you archive them multi-volume and split the volume at 700MB; you can tell me what archiving software you use so I'll write you a step-by-step guide on how to do this.
The downside is if that you want to install the game you have to copy the archives from the disk to your hard-drive, extract and then install.

While we're here you may be interested in this...
http://www.gog.com/en/forum/general/unofficial_dvd_covers_for_gog_com_games/

AndrewC is right. While we're at it I'll recommend you use 7zip to do it. It's free and has specific options for archiving for both CD and DVD sizes.

CD's are dead. Use multiple external drives for backup.

I prefer using both DVD's and CD's. Burn one or more of the larger games to DVD . . . one or more of the smaller games to CD. Use the single or double layer DVD's and the 700 MB CD. I prefer Nero 7 but any version of Nero or similar program will do. You must have a DVD burner of course. ( I prefer the +R disks myself ) . . .=) You can split the files for simplicity but it adds another potential failure point to the backup. In a few years, transfer the backup files to [ Insert new media format here ].
Thiev maintains the unofficial DVD cover list where you can find a DVD cover for the individual games, universal covers or combo covers for multiple games of the same series.
I prefer using the universal cover found or the minimal ink cover found [url=http://www.cubeupload.com/files/74aa00goggamescollectionmi.jpg]here.
I backup my games to disk while also keeping a backup of the original download on my hard drive and on my external e-SATA drive. Can't have too many backups . .=)
Edit: I keep the disk backups at my sister's home . . . =)

Given that they're archiving already compressed files they'll most likely see an minor increase in overall file size. But it's sill the best option for getting large files onto lower capacity discs.

Yes; old habit - many sites allow a limited time and limited downloads.
CDs may be dead but I don't have a DVD burner yet. Well, I do play vampire games so I guess that is fitting :)
The games are automatically backed up to my external drive (Maxtor) and, come to think of it, to the Norton backup site as well. Guess I just feel more comfortable having that disc available. You're probably right, perhaps I have TOO much redundancy.

For backup, you probably can't have too much redundancy. And for that matter, for backup, you probably can't have too much redundancy.
You really need to check out DVD burners... much better value than Norton anything.

Call me old-fashioned, but I always like to have a physical copy of the game (a CD or DVD depending of the case). Not counting that my bandwidth is quite limited.

And an external drive IS a physical copy...

Couple of observations on DVD/CD issues -
CDs are a lot more fragile than DVDs generally. You scratch that top layer (which is easy to do) and your data is hosed; DVD data is much better protected. Also, DVDs are much better at recovering data if you disk is does have problems - it has built-in error recovery. So if you have the choice go with DVD.

Sorry? I don't think you know what you're talking about.
First of all, that top layer you mention is just plastic and is exactly the same on CDs and DVDs. If you scratch it but don't end up to the "shiny" part inside you're all good. Also, the top layer is somewhat irrelevant as the disk is read from beneath it at all times.
Second: what do you mean by built-in error recovery? From my knowledge there isn't such a thing on the optical medium itself but is part of some drives specifications (even though it's mostly bollocks). CDs and DVDs differ mostly by the wavelength of the laser diode which is 650nm as opposed to 780nm for CDs which means a small pit to be etched on the media surface (so more pits = more bits = more storage capacity).
Dual layers don't differ that much, they only have a second psychical layer after the first one which is semitransparent (because the laser has to pass through that first semi-transparent one - which should not be confused to the plastic encasing - it takes longer to write a DL disk).