I'm a big fan of Tchaikovsky's concerto. It was one of the first pieces that I really appreciated. I like the Sibelius but I prefer his symphonies. I have about 5 different versions (the old Karajan still my fave) and even had his short 7th symph play at my wedding as incidental music while peeps were waiting.
I also love Beethovens Violin concerto. If you haven't heard Barber's Violin concerto op.14 I can highly recommend it as a great late romantic piece.