There's a lot of classical music of many different periods and types. It might help if we knew what you already like. However, I can suggest some which many people like, but pieces others have mentioned are just as good:
Mussorgsky (arranged for orchestra by Ravel), Pictures at an Exhibition.
Stravinsky, Firebird Suite.
Overtures by Mozart, Beethoven, Rossini, Berlioz, Mendelssohn, Tchaikovsky, Wagner, and more minor figures such Suppe, Auber, Glinka.
Mozart Symphonies 1-41 (terrific cheap box set with Trevor Pinnock), but 35-41 are the greatest of them.
Beethoven Symphonies 1-6 (excellent cheap box set by Karajan (1963)--others like the modern cheap Zinman).
Violin concertos by Mozart, Beethoven, Mendelssohn, Tchaikovsky, Sibelius, Prokofiev, Bartok.
Beethoven Piano Sonatas.
Chopin Piano Music—Sonata No. 2, Waltzes, Nocturnes, Ballades, Scherzos, etc.
Brahms Symphonies 1-4.
Tchaikovsky Symphonies (esp. 4, 5, and 6).
Rachmaninoff Symphonies.
Sibelius Symphonies.
Piano Concertos by Mozart, Beethoven, Brahms, Tchaikovsky (No. 1), Rachmaninoff, Prokofiev.
String Quartets by Haydn, Mozart, Beethoven, Schubert, Brahms, Bartok, Shostakovich.