Can something published on arXiv or optimization-online.org be mentioned in my CV? I was thinking about submitting one of my papers in arXiv or www.optimization-online.org and hence I was just wondering if mentioning the same in my CV would be appropriate. Is it done usually? If yes, how should I actually mention something like this in my CV? Kindly guide me (I have no previous experience in publishing papers and I'm an undergraduate student).
Putting non-peer reviewed publications on your CV is perfectly fine, but you should be aware that for research-oriented jobs and admission to academic programs you will be primarily judged by your peer reviewed publications.  I have seen CVs that separately list peer-reviewed works and non-peer reviewed works, and sometimes the non-peer reviewed works are simply listed as "technical reports."

If you believe that the papers you write are worthy of being mentioned on your CV, then list them.  But don't think that by putting a bunch of low-quality non-peer reviewed works will do you any favors when looking for work or when applying for academic positions (whether graduate school or employment).  Obviously, you should avoid putting them on your CV if you are doing so simply to demonstrate that you can write a paper.