I always found the solo piano performances of Mussorgsky's Pictures at an Exhibition to be a lot of fun, and a great exhibition of its own when it came to showing the range of emotion a piano can display, all in one neat little package.
I've been trying to find a particular Naxos release online for you, which includes both the full orchestral symphony as well as the piano concerto, for about $5 new, but I can't seem to find it... I have it at home, so if I can find a link to the right copy from the actual BIN(?) number off the spine, I'll post it here.
Honestly, a lot of the Naxos releases should be considered a necessary primer - for what they charge in this particular line of their products, you can amass an enormous collection for very little money. The releases are extensive, and the sound quality is consistently quite good. I know my local HMV superstore has a wall dedicated to the Naxos line on their classical/jazz floor and they literally sell them at 4/$20 or less - in a retail brick and mortar!
A budget line to be wary of: The
Decca/Philips Eloquence line. I bought Holst's "The Planets", attracted by the price and it clips all over the place! Perhaps someone can chime in as to whether or not this is consistent across the line, because I really found it hard to believe something could sound so bad, especially considering Decca's relatively solid reputation for good sound. Then again, Deutsche Grammophone can be inconsistent at times, so I suppose anything's possible.