Many great recommendations!
Not disagreeing with any of them, but if I were starting a classics collection, I would almost begin by looking first at anything by the finest orchestra/conductor combinations, i.e. Chicago/Reiner, Cleveland/Szell, Ansermet/Orchestre de la Suisse Romande, etc. Those are just a couple of my favorites, and I believe almost anything by them is fabulous. By getting just a few of those, it'll point you in a good direction.