A very interesting, but hard to find disc is Niels W. Gade, violin sonatas 1-3, Bratchkova, CPO 999 644-2. Romantic-era violin and piano; I wish I had known about this composer a long time ago. On Naxos, I recommend Glazunov/Dvorak violin concertos, and if you like atmospheric symphonic music, Sibelius Tone Poems. The Baroque violin recordings of John Holloway sound very good are highly recommended (Unam Ceylum and Unarum Fidium).
On another note, you might try joining a mail order club or two in order to get a load of "free" discs to begin with. It will allow you to sample a good diversity of music without a significant price tag. Most of the limited choices at BMG are fairly common, but you can pick and choose on the web site. For violin music probably available there, try Barber and Meyer violin concertos (Hahn; Sony Classical), Bach Art of the Fugue (Emerson String Qt; Deutsche Grammophon), Tartini violin concertos (Wallfisch; Hyperion), Mendelsohn and Shostakovitch violin concertos (Hahn, Sony Classical), Vivaldi Late Violin Concertos (Carmignola; Sony), Bach Solo & Double Violin Concertos (Manze, Harmonia Mundi), Vivaldi Concert for the Prince of Poland (Manze, Harmonia Mundi). For contemporary symphonic music that is not over the top (i.e., you can listen to it more than once), try John Adams Naive and Sentimental Music. Cheers.