Here’s how you collect for output in CS4. First, find the collect for output script in Applications > Illustrator CS4 > Scripting > Sample Scripts > AppleScript. Then, drag a copy of it to Applications > Illustrator CS4 > Presets > en_US > Scripts.

Restart Illustrator if you had it running. Once you get the program started, you simply go to File > Scripts > CollectForOutput. It will ask what file you want to package and where to put the resulting folder. I actually like that they changed it a bit so now it can live in the menu.

I did a little more browsing around, and it looks like this approach also works with CS5. Please let me know if anyone finds out different. Also, this still does not collect fonts, only images.