Most of my favorite box sets are in jazz. Just a handful you might consider:
Ella Fitzgerald - The Complete Songbooks
Billie Holiday - Verve and Columbia box sets
Louis Armstrong - Portrait of the Artist
Thelonious Monk - Complete Riverside
Art Pepper - Complete Galaxy Recordings
John Coltrane - Classic Quartet Impulse Recordings
Bill Evans- Complete Riverside
Duke Ellington - The RCA Centennial Box (24 CD monster)
You can't go wrong with the boxes from the Mosaic label, if you like jazz. If you don't, none of these recommendations will be of much use to you.