I can't disagree with the Messiah recommendations above, but if you're looking for something different, Harmonia Mundi has a three disc version of the Messiah with Nicholas McGeagan and the Philharmonia Baroque which is very well recorded (as is anything from that label--good recommendation, cornfedboy, for On Yoolis Night) and has ALL of the various versions of the Messiah (I think there are nine), including all of the different variations of the arias for different voices. You can program your player to play whichever version you want, unless you have a spartan high-end transport from some foreign country like I do which doesn't have such a simple convenience. If you've never heard a countertenor you'll get a kick out of this disc. McGeagan's tempos are faster than you may be used to, as well, and it's a small ensemble and choir, but I enjoy it very much. And for another suggestion, the series of recordings by the Cambridge Singers on Collegium ars very nice.
