The Elgar Cello Concerto / Jacqueline du Pré, the Dvorak Cello Concerto & Tchaikovsky Rococo Variations / Rostropovich, and the six Suites for Solo Cello / Rostropovich recommended, respectively, by KR, Dark Angel, and Arzela are must-haves...definitive performances of these great works.
Some other recommedations:
Lutoslawski & Dutilleux's Cello Concertos / Rostropovich. This has recently been reissued by EMI as one of its "Great Recordings of the Century" series. These are modern works--don't expect to hear traditional melody, harmony, thematic development, &c.--yet they are quite accessible. If you like these, try Ligeti and Schnittke's Concertos.
Bruch's "Kol Nidrei" & Bloch's "Schelomo" are two interesting pieces. If you'd get the Fournier performance on DG, it also has Lalo & Saint-Saens' Cello Concertos.
Richard Strauss' "Don Quixote." Rostropovich does well on EMI, but it's coupled with the (yawn...) Schumann Cello Concerto. The Du Pre on EMI is good, as is the Fournier on DG.
There are many, many rewarding chamber works featuring the Cello.
If you stick with Rostropovich, Du Pre, Fournier, Janos Starker, Casals you'll most likely be getting good/great stuff. Isserlis and Rose are two hopeful prospects. Oh yeah...and that Yo Yo guy (Ma). I don't particularly care for his interpretations/style, but someone must: he sells a lot of albums...