Does anybody still use blank cds?

yes, I still use them, why do you ask?

Because I am thinking of putting all the albums I have downloaded of iTunes on to cd

Good idea if only as a backup.

If it's for back up, why not just save them to an external hard drive or memory stick?

But what if you lose or damage external drive or it just fails, I suppose with CDs
it's not putting all your eggs in one basket.

Only to burn albums playlisted from iTunes to pass onto friends. I suspect they just rip the copy to iTunes and throw the disc away. I still have a Pioneer CD recorder which made perfect duplicate copies of CDs which I now never use given the convenience of putting a blank disk into a computer drive. Just another example of technology "improving" to provide more convenience but lesser hi-fi quality.

Yes as I still like to burn and then play CD's.

I use them. I don't use them as often as I might have done 10 years ago but I still keep some around. They have their uses.