Beethoven Symphony 3, 5 6, 7 and/or 9 are beautiful. Mozart "Jupiter" Symphony is wonderful.
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I second the (internet) radio route as a primer. Play it as background music first. Note down the names of the pieces that catch your interest. Then go and buy the CD and start your critical listening session. The general idea is that don't force yourself to sit through 15-20 minutes of music just because someone tells you it is a high fidelity recording. Find the music you love first, then the rest will all come easily.
I came to an interest in some kinds of classical music only recently and find that what I like is just as unpredictable and specific as with any other genre. I have found much classical music I love but can't say I love classical music any more than I can say I love country music. I like what I like, regardless.
The idea of finding a way to sample it broadly and then follow what piques your interest is a good one, rather than buying what is considered by consensus to be the great stuff. I, for instance, have found I really love a lot of Bach's work but that almost all Mozart drives me from the room.
In addition to internet radio I would recommend a site like emusic.com where there are expert recommendations as well as playlists from regular contributors with the ability to hear samples and search for similar music.
Second(third) the internet radio but might add either the Penguin or Gramophone yearbook/guide to classical music. First find a piece you like, then look it up, read some descriptions, see if any of it makes sense, and maybe, heavy on the maybe, go from there. They might have some particular one singled out as really outstanding, somewhat rare, but every now and then it happens. That might give you a place to start for soloist, composer, playing group, could be symphonic, chamber, or solo, as well as a starting point to see what else that one/they did that you liked.
My interest in classical music started with getting student rush tickets at my local orchestra. From the first concert, I was hooked. I also agree with prior posters about listening to either FM or Internet classical radio (and some cable TV providers have classical music channels). In addition, there are a number of books, including the Penguin and NPR classical music guide. Also, take a look at the archives in Audiogon about various recommendations for certain composers or particular works.
Also, another consideration is listening to streaming music from Pandora or Magnatune, and seeing what you like.
A good place to start sampling is a radio station. Most cities have an FM station at the bottom of the dial - usually npr and connected to a university. As far as selecting music - at some point pick up the Gramophone Classical Music Guide and the Penguin Guide - good for pointing one to good performances - Gramophone is less comprehensive but I think is a better place to start. As far as companies - I assume you are referring to 'labels' -that depends - EMI & Deutsche Grammophon have the largest inventory of great performances. Telarc, Pentatone, Channel Classics, Linn, and other labels may be more 'audiophile.' Naxos, Testament, and a few others tend to put out more difficult to find performances from the earlier years of recording. Classical music listening and collecting may be a little different from what you are used to if you are coming from more of a popular genre. There is a heightened value in listening to different performances of the same piece. For example, I probably have somewhere on the order of 20 performances of Beethoven's ninth. In nearly all cases I have a minimum of two performances of the every composition that I own. Different conductors make a huge difference in the music - in my opinion a much larger difference than the quality of the recording. Furtrwangler's Eroica is completely different than Harnoncourt's which is completely different than Karajan's or Vanska's. The other difference you may notice if you are coming from a more popular genre is the time investment in a composition and in a performance. While it takes more than one listen to appreciate any music - you may find this magnified when listening to classical music - I notice newness in both composition and performances in pieces that I have been listening to for decades - much more so with classical music than with more popular music. Finally, as a matter of completeness - look at different divisions in what is commonly referred to as 'classical' music. Baroque (eg. Bach, Handel, Teleman) has a very different flavor than classical (eg. Haydn, Mozart), than Romantic (Tchaikovsky, Bruckner) than more recent compositions (Berg, Schoenberg). Finally, give opera a listen - besides the vocal part of the performance (which one can also view as an instrument), orchestral performances underly opera. Composers such as Verdi, Wagner, and Puccini provided us with wonderful compositions that are found almost entirely in their operas. I recomend the radio station sampling and the guides because there is an incredible selection to choose from, both in compositions and performances. These are starting places to get one's feet wet. A miss and hit approach when starting out may leave one with several hundred cd's, many of which are not performances to that person's liking. NPR is free so you can listen to hundreds of pieces for the cost of the power to run the radio. The guides will give you a starting point for purchasing arguably good performances. Finally, beware the audiophile magazines that list recommended recordings - it is my experience that there is absolutely no rhyme or reason to the selections. I do find value in the monthly periodicals Gramophone and BBC Music as to recomendations - but even there take what you read with at least a grain or two of salt.
WGBH 89.7 (Boston) on the internet as HD-1 plays classical music from 9 am to 4 pm EST. The announcers are first rate They also broadcast the Boston Symphany live. The schedule is on their web site. Their HD-2 channel is classical 24/7 with different programing and announcers.
I have a small SANYO internet radio that I bought from C.Crane that is in the kitchen for background music. It's easy to use and sounds OK, but you must have WiFi.
Start out in the baroque period, Vivaldi, Handel, Bach, etc., go to the classical period, then to the romantic and modern periods and find what you like first, then you will grow into the rest on some level. This is the beginning of a great adventure for you. I grew up around zero classical music, just pop/rock/country. Now it is almost all classical/jazz, and nearly no country or pop.....just can't let go of that rock though. jallen
as your playback is cd you cant really go wrong .paying too much for the wrong vinyl pressingswill not be an issue.buy a copy of the classical good cd and dvd guide and you cannot go wrong.do not forget cd reissues in mono from companies such as naxos when virtuosos were really superstars and not puppets of commercialism,and when top orchestras numbered 150 top players and not 20!
Internet radio is the way to go to listen a wide variety of classical music ........ Either directly through your computer or if you have a wireless network stream it to your main system with an airport express (simple and cheap) ..... I love classical music and this is what I do ... It is a great way to go...
Find a way to learn about the structure of music from a listening/theory standpoint. I recommend the Teaching Company website. They offer a superb series on various kinds of music (series dedicated to Mozart, opera, Beethoven etc.). You really can learn a great deal and begin to appreciate the skill and creativity behind classical music. Getting the Beethoven set and watching it changed my life---or at least it made me move Beethoven's symphony #3 up to the top of my list. BTW, I've been listening to classical music all my life and played piano and violin in an orchestra through HS and still I learned something. It will also expose you to a whole gamut of composers and you may find yourself gravitating to one or another composer or period (Haydn, Mozart, Bach, Brahms, Stravinsky etc.).
Or: start with Mozart piano sonatas, Beethoven symphony no. 3 (Furtwangler is good, sound is not so good). Bach Goldberg variations, Rachmaninov Piano Concerto No. 3 for an overview.
I ask the question: what periods in history and in what country interests you the most?Go for Mozart,Haydan(s) and then move on to Beethoven,Wagner,Bruckner in the 19th century.
Renaissance: Look for good choirs that do Palestrina,Byrd,Tallis,others. Also look for early music specialists such as The Tallis Scholars.They do it all.
Baroque: Again, period groups and better choirs. Bach, Handel,Vivaldi,Purcell to name a few.
After you zero in on the groups you like, look for other groups that are from the same philosophy.If you like Acadamy of Ancient music you will probably like The English Consort, and Concentious Musicas Vein.
good luck and have fun.
Cheapest and quickest is your local library.
You could also check out the BBC Radio 3, they also give an excellent insight into classical music.
You do not need to know about music to understand music.
I mean if you like looking at the moon and planets through a telescope do you really need to know the workings of a rocket ship from NASA?
If you have itunes then click on 'radio' and then 'classical'
you will be greeted by quite a few (70+) classical radio stations, that should keep you entertained with listening.