I, too, didn’t appreciate Mahler right away; it took time. Now, he’s one of my favorite composers. No recording beats a live Mahler performance, but I own 50-60 CD recordings of his symphonies, and his work really benefits from a good audio system.
Probably the most-loved is Mahler’s 2nd, the "Resurrection" symphony. After Beethoven’s 9th and 5th, Mahler’s 2nd is arguably the greatest symphony, thrilling, profound and soul-stirring. There are many good versions; I’d highly recommend Ivan Fischer conducting the Budapest Festival Orchestra on a Channel Classics SACD --a perfectly-judged performance in stellar sound. Leopold Stokowski’s live recording of the Resurrection with the London Symphony Orchestra is in acceptable sound, but the performance will rock your world.