Really opinionated but I suggest Beethoven's symphonies. They're pretty well known and very interesting (especially No.5 1st mvt and No.9 4th mvt).
Herbet von Karajan conducted/recorded a full box set of each of the 9, but it's a bit expensive.
However they're all available individually on iTunes etc.
Other big composers: J.S Bach, Handel, Mozart, Haydn, Berlioz, Brahms, Wagner, Mahler, Debussy, Tsaikovsky, Shostakovich, Prokoviev, Rachmaninov plus many many others.
That covers Baroque, Classical, Romantic, Impressionist and early 20th century