The field is so vast and diverse that you should sample as much as you can to get a handle on what kind of music, period and styles you like the most. I would suggest listening to the radio, particularly internet stations, or even the classical music offered on cable tv channels.
The guides mention above, such as the Penguin guide, are good resources for finding specific recordings of compositions you are interested in, but, you would have to know the piece of music you are looking for; it is not a guide to the music itself. I like a book called "1001 Classical Recordings You Must Hear Before You Die." It is arranged in chronological order and it is good for finding specific composers and pieces of music as well as the particular recordings of that music that the editors favor. I think the selections are quite good.
The guides mention above, such as the Penguin guide, are good resources for finding specific recordings of compositions you are interested in, but, you would have to know the piece of music you are looking for; it is not a guide to the music itself. I like a book called "1001 Classical Recordings You Must Hear Before You Die." It is arranged in chronological order and it is good for finding specific composers and pieces of music as well as the particular recordings of that music that the editors favor. I think the selections are quite good.