Man, so much here. Frankly the SA-CD.net site is probably a better resource for classical, but a few general observations:
If you're new to classical, you're better off starting with RBCD or streaming/downloads than you are with SACD/surround formats, just so you can take the time to figure out what you like first. It might be worth spending a few bucks at Amazon for one of their digital megaboxes. Or if you want to go CD pick up the RCA Living Stereo boxsets (the Mercury sets are good too, but there's a lot more esoterica in them).
Also, I think there's a lot of emphasis on older remastered quad recordings in this thread. They're great (and I have a lot of them), but frankly you're typically going to be better off with a more modern recordings as your first listen.
In terms of box sets where you'll cover a lot of ground - For Beethoven the Vanska (BIS) and Haitink (LSO Live) sets are both excellent and sell for cheap. Jarvi is good too, with his amateur Bremen orchestra, but I think it's third choice - and it's a bit harder to get all the discs. For Mahler the clear choice used to be the 15 SACD Zinman set (recorded in 4.0) when it went for $25. Now that it sells for $60 it still might be the top choice, although Gergiev isn't a terrible first choice either. Neither one is a top choice overall, but both give you good surround sound and good performances. For Bruckner the recent box set of Janowski leading the OSR isn't too expensive and is well-recorded and performed.
For the Beethoven Symphonies, don't forget Barenboim's DVD-A cycle from the early days of the format. Possibly the best audiophile version of the symphonies.
For Brahms and Sibelius, you can get the Abravanel/Utah recordings on Silverline for pennies, I'd recommend those. I'm not aware of modern competitive box sets, although the new BIS Vanska Sibelius cycle is sounding good.
Generally speaking, I'm a little wary of AIX/Tacet/MDG for orchestral recordings. In my experience the performances are often mediocre, as are the ensembles playing them. Of course, like any general statement this one has many exceptions and if interested, always check out the individual reviews.
