Danny Elfman is an absolute genius, IMHO. I love almost everything he has ever done. If we're talking about soundtracks, the soundtrack for Bram Stoker's Dracula is very good as well (No, not Elfman. But still very atmospheric and very good).
Absolute "must have's" for any metalhead are Mozart's Requiem and Carl Orff's Carmina Burana. Others that I like are Holst's The Planets (Especially Mars, Bringer of War) and Braham's Requiem. Vivaldi's The Four Seasons was mentioned in the original post and I would consider that one to be another "must have."
Oh! Another of my favorite CD's isn't orchestral, but it's Elliot Fisk's transcriptions of Paganini's 24 caprices for classical guitar. Amazing guitar work.