it may be a good idea to start out with some well-known works which you might have heard parts of at some time or another. for instance,
vivaldi - the four seasons
corelli - concerti grossi op.6 (especially no.8)
albinoni - adagio in g minor
pachelbel - canon
j s bach - toccata and fugue in d minor for organ, goldberg variations, brandenburg concertos, italian concerto in f major
mozart - eine kleine nachtmusik, symphony no.40, requiem
beethoven - symphonies nos.5 & 9
schubert - symphony no.8 "unfinished", ave maria
berlioz - symphonie fantastique, requiem
chopin - nocturnes
paganini - 24 caprices for solo violin
grieg - peer gynt suites, holberg suite
tchaikovsky - swan lake (suite), piano concerto no.1, symphony no.6 "pathetique"
mussorgsky - night on the bare mountain
rimsky-korsakov - sheherazade
holst - the planets ("mars")
mahler - symphony no.1, symphony no.5: 4th movement (adagio)
sibelius - finlandia, symphony no.2
prokofiev - classical symphony, montagues and capulets (from romeo and juliet)
rachmaninov - vocalise, prelude in c sharp minor op.2
there are hundreds of different recordings of some of these works. try to pick one that does not look cheap. a quality recording of a good performance makes a huge difference. you might want to buy your first cds from a top all-around label like deutsche grammaphon.