You can download MySQL tables for Ensembl at http://www.ensembl.org/info/data/mysql.html. The UCSC genome browser can be found at http://genome.ucsc.edu/. Be sure to check the download area at http://hgdownload.soe.ucsc.edu/downloads.html. With a reference to genomes, you can find GTFs of model organisms in Ensembl at http://www.ensembl.org/info/data/ftp/index.html. A simple explanation between CDSs and exons can be found at https://www.biostars.org/p/65162/.