Dinu Lipatti simply owns the waltzes. However, it is a mono recording, though relatively clean and good piano tone, so if you can, give it a listen first.
For mazurkas, I love Kapell on RCA, but again, sound quality may be an issue (again, not bad, but they are 50s recording and not Living Stereo issue) and it's not a complete set. Transcendent recording of sonata #3 should help to ease the pain on sonic front. Sonata #2 which is also included, has terrible sonics, unfortunately, and I prefer Michelangeli, Novaes and Sokolov anyways.
Pollini is superb in polonaises and is in excellent sound on DG.
For ballades, Sviatoslav Richter is unequalled. #1 and #2 can be found on BMG's Russian Piano School set (should be able to buy single CD of it now) and #3 and #4 are on DG. Sound on DG is quite good, BMG less so but listenable.
I again return to Richter for scherzi. Best sound/performance will be found on Olympia label, although performances are better on Doremi label, albeit in poor sound.
Not sure who I can recommend for etudes. My personal reference is Cortot and I simply stopped looking for other sets when I heard these and bought 'em but the sonics are pretty bad (20s/30s recording). I guess Ashkenazy is serviceable in good sound (not sure if he released complete etudes though).
