I think that in this area much will depend on whether or not you can stand
(or actually like) Elisabeth Schwarzkopf.  I have great problems with her
singing, which to me is white and mannered, thus excluding a couple of
"classic" recordings for my taste.  On the other hand, I adore Lisa della
Casa (whose Vier letzte Lieder with Bohm conducting may be my facvorite
record of all time), as shows in my preferences.  I do not have my CDs
here, so I apologize for errors in the data.  That said, I'd go for

Guntram: the only one I know is on Hungaroton/Queler.  Fine recording of
a rather indifferent piece, IMHO.  For the die-hard Straussian.

Feuersnot: I have only one and that is in Germany right now - cannot
recall, sorry.

Salome: I think the Sinopoli is fine.  The Sawallisch is the current
recording I like as much.  The Nilsson/Solti on Decca is great too but
Nilsson's voice is, for me, too grand and "healthy" for me in the title
role.

Elektra: I'd go for the Sawallisch/Marton/Studer, because it is
magnificiently conducted and brings out the fin-de-siecle sickliness in
this piece out perfectly.  Marton may be too coarse for some though (I
think she's perfect in this soprano-vs-orchestra deathmatch).  A recognized
classic is also Nilsson, Resnik, Collier, Krause, Solti on Decca.

Rosenkavalier: Gueden/Della Casa live on Gala is incredible and the
sound is o.k.  But I also like the Te Kanawa/von Otter/Hendricks/Haitink
a lot, with what must be the greatest finale trio on record.  The usually
recommended classic is Schwarzkopf/Tomosa-Sintow/Karajan, which especially
in the remastered version, devoid of the beneficial haze that clouded the
vocal imperfections before, is one of the few opera recordings that can
give me a migraine.

Ariadne: Della Casa/Bohm live on Gala can't be beat.  The
Norman/Gruberova/Masur on Phillips is also very very good.  I epecially
like the crystalline transparent texture of the orchestral playing, one
of the main achievements of this score, in this one.

Frau ohne Schatten: That must be my favorite opera.  One recording
doesn't do it justice.  The best complete performances are Domingo/Solti
and the Sawallisch.  The first has slightly better singing (though both are
first-rate and luxury cast, what with Sumi Jo as the Falcon!), the second
has more taut and insightful conducting.  But my favorite remains the 70's
cut live performance from Vienna with Nilson/King/Rysanek, Bohm conducting,
on DGG.

Intermezzo: Popp/Sawallisch.  What a wierd piece.  Never really got into
this one.

Aegyptische Helena: Jones/Hendricks on Decca.  Ravishing singing.  One of
the masters' most underrated works IMO.

Arabella: Della Casa/Solti/Decca.  Currently out of print, I believe.
Don't like the Te Kanawa/Tate.  There is a live recording from the 40ies,
Bohm conducting, with Della Casa as Zdenka which has muddy sound but great
singing.  Currently on Berkshire.  Great but hard to get is Maria Reining,
Hans Hotter, Boehm on DG.  Friedenstag: Marc/Bass on Koch is the only one
I know of.  Don't care much for this one.

Schweigsame Frau: Wunderlich/Bohm/DGG is unsurpassed.  The sound is so-so.
There is one other recording by Janowitz (sp?) from Dresden which has
terrible conducting and boxy sound.

Daphne: Wunderlich/Bohm.  There is also a great 40's recording from the
Teatro Colon (I think with Ursuleac)

Liebe der Danae: Can't help with this one.

Cappriccio: Schwarzkopf/Karajan is ideal here because S. is ideally cast
as the shrewish countess.  But although many critics did not like it, I
also enjoyed the Te Kanawa/Schirmer, a sophisticated and clear reading.

I hope you'll enjoy your foray into the lesser-known works.  I count them
among the most rewarding muscial experiences I have had.

An afterthought ...

In addition to my previous post [above  -Dave], and although somewhat
tangential to Don's question, I would like to mention the CD-ROM 'Richard
Strauss Operas' that can be ordered for $8.50 from www.operaclassics.com.
Put together by Mike Richter, it contains MP3 files with live recordings
(with an exception from Munich) in bearable sound covering each of the
works.  To listen to them, you'll need a device that plays MP3, either
on your computer or one of the portable gadgets like the Rio.  That may be
a nice way to tap into the lesser known stuff if you do not wish to take
the plunge and buy complete recordings.  The other opera CD-ROMs available
from this source are also well worth checking out (there is one with the
complete operas of Richard Wagner, with a very nice Parsifal and an
otherwise unavailable Sawallisch Ring, for example).

Best, Andreas