The EMI Great Recordings of the Century series is a great way of picking up some excellent recordings, as is DG's 'Originals' series. I've got some absolute gems from the EMI series and the sound on most of them is superb.
Also worth a look is the Naxos Music Library online. You can subscribe and it gives you the ability to listen to anything in their catalogue before you buy.
Haymarket have also just published a guide to the great composers with recommended recordings in it. I saw it in WH Smith yesterday and I would say it is ideal for someone starting to explore the repertoire. It has been very well done as you would expect from the publishers of Gramophone.
Finally, get to know Radio 3. It remains a superb radio station.