Lots of good recommendations, especially for sax.
Not to ignore the many, many good contemporary players, but you might want check out some of these old greats.
Alto Sax: Charlie Parker, Very Best of the Dial Years; Cannonball Adderley, Somethin' Else; Art Pepper, Meets The Rhythm Section; Sonny Criss (a very underrated alto), This Is Criss; Lou Donaldson, Blues Walk; Jackie McLean, Let Freedom Ring.
Tenor Sax: John Coltrane, A Love Supreme; Sonny Rollins, Saxophone Colossus; Hank Mobley, Soul Station; Stan Getz, The Very Best of the Verve Years; David Murray, Like A Kiss That Never Ends; Dexter Gordon, Our Man In Paris.
For piano, I have always liked Oscar Peterson, Lennie Tristano, and Bill Evans. Very different styles.
Just my two cents.