I started buying classical CD's about 10 years ago by getting a lot of "Best Of" type collections for cheap. Today, I probably have over 500 classical CD's and the only ones I find that I NEVER listen to any more are those original compilation purchases. The overall quality of most (and I stress most, not all) generic box sets isn't anywhere close to as gratifying as a truly masterful performance/recording of a piece. I highly suggest seeking out the best recordings you can find, as you'll almost definitely like and appreciate the genre so much more.
Here are some different ways I recommend getting started:
1. Check out the Grammy Award's history for "Best Classical Recording" on wikipedia.com. All of these recordings are pretty much guaranteed to be inspired and you'll get a great variety of composers and works.
2. Buy a 1-year membership to the Naxos (a major budget recording label) website for about $20. This is a great way to be able to stream virtually all of the great repertoire. The audio quality won't be very gratifying, but it will be enough to serve as a point of departure for locating great recordings of pieces that catch your ear.
3. Use amazon.com to find good recordings at great (used) prices. Most of the CD's I buy now come used from individual dealers linked to Amazon. But the best part is if you search for recordings of a specific work, you get them in order of "Bestsellers," which means some people have already done some sorting before you begin; then you just read editor and consumer reviews of the first page (or more, depending on how frequently recorded the work is) to find one that suits your interests.
These methods could be criticized for putting a bit too much emphasis on a recording's popularity, but they certainly will point you in the right direction and help build confidence in your future classical CD purchases.
I'd love to talk shop and recommend some specific stuff, but only if you ask, of course.