First -- yes, the Sega CD only boots if you don't have a cart in. The one exception is of course the Sega CD Backup RAM Cart; if you want to use it to save to, have it in when you turn the system on, and the Sega CD will boot as normal but games that support it will let you use it for saving.
You don't need to worry about the SNES, its power supply only fits in the SNES and nothing else... I think the Japanese SFC uses the same power supply as the Famicom, but in the US, the two are completely different. The SNES has a distinctive grey connector that you plug into the system... and it outputs DC, not AC like the NES one did. 10V DC 0.85A, specifically. Not that it matters, given that the plug won't fit in any Sega system I know of.
Anyway... US Sega power supplies.
MK-1602 or MK-1602-1 -- Sega Genesis 1, Sega CD 1 and 2. This power supply may also work with Master Systems -- they are very similar to SMS power supplies, which are model 3025. The MK-1602 is 9 volt DC 1.2 amp, the MK-1602-1 10 volt DC 1.2 amp, and the 3025 9 volt DC 1 amp. All have the same kind of plug. I'm not sure why they have two different models of the Genesis 1/Sega CD power supply, one outputting 9V and the other 10V, but either should work the same. I've got a 1602-1, it works the same as a regular 1602.
MK-2103 -- Sega Genesis 2, Sega 32X, Sega Game Gear. The Game Gear power supply is indeed identical to the Genesis 2/32X one, if they actually did sell them separately, so just use a Genesis 2 power supply for it, they're quite common and the GG really needs that power, given its battery life. Output 10V DC 0.85A
MK-1479 -- Sega (Majesco) Genesis 3. 10V DC 0.3A. Not used by any other systems. Interestingly, the Majesco Game Gear (2000 system re-release) manual warns you to not use a Master System, Master System II, or Genesis 3 power supply with the Game Gear, as the Majesco Game Gear uses the same power supply as the Sega ones. Oddly, while it does say use model 2103, it doesn't say that that is the Genesis 2/32X power supply... or not to use a Genesis 1/Sega CD power supply either. Why mention the SMS but not the Genesis 1? Odd.