My only advice on building a classical music collection is - don't start
with Bach, J. S. It is not very likely that you get hooked quickly but
when (if) this, unfortunately, happens, your collection process might be
hampered.  I found myself stuck at Bach for the past year and a half, my
whole experience with classical music.  All I managed to snatch before
falling ill with bachomania was Vivaldi's Seasons, Chopin waltzes and
preludes, Rachmaninov's "Musical moment", 1st movement of Brahms 1st
symphony, Adagio from Mahler's 10th and Schoenberg's Verklaerte Nacht.

Now I'm trying to recover and somehow continue building MY classical music
collection.  I've been trying to listen to Beethoven's late quartets lately
(boy, that was a hard nut to crack and I'm still working!).  In a word, I
need a book titled "Classical for Afterbach victims" or "Ten ways to
proceed after Musical Offering":)

Juozas Rimas Jr (not the one playing)
http://artists.mp3s.com/artists/141/juozas_rimas.html