i assume you know something about classical music and know what you like?
I would start by perusing the catalog like on Music Direct. Identify an audiophile recording that appeals to you, and a couple regular recordings. Buy these. This can help set the bar for a great sounding album (there is variation in audiophile record but this is likely to be great). This will give you some idea of what recordings should sound like. This should also tell you if you should be collecting audiophile recordings or regular.
Ultimately, it is fun to buy used from record stores, but that requires the ability to look at an album and assess its condition. Classical is the hardest to buy used because of the ever present quiet passages and huge dynamic range. If you get into used, then you are probably going to need to buy a record cleaning machine. This is where things get more expensive, complicated, and fun.
I also recommend research with AllMusic. That will help you choose and understand different recordings, composers, and conductors.
