For the entire set on CD's I think I'd go for Brendel or Goode. Both have an excellent grasp of these sonatas, and both received excellent reviews. My prime choice woould be Goode.
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I would also lean towards Goode over Brendel just between the two. Is it possible to say that Brendel's playing is many times "too perfect" ?
You might also be able to piece together a set separately by Murray Perahia.
For other "historic" recordings you can probably piece together an almost complete set by Solomon or Richter.
Another nod for Goode. Although in ultimate terms I prefer Schnabel and Kempf, the fidelity is pretty low on those (1930's and mid-50s respectively) I admire Brendel a great deal, but his set(s) are pretty rigorous and intellectual-- not perhaps the only one(s) to have if you're having only one. Goode is excelllent all around, and is recorded wonderfully. You could live happily ever after.
Claudio Arrau's performances were released in CD format by Philips, titled: Complete Sonatas & Concertos. It is a very subtle and lyrical reading.
On the contrary Backhauss performances (Decca) provide me a grand and heroic approach.
The live recording (DGG) performed by aged Rudolf Serkin in Vienna was so sacred and sublime. You almost can feel that you are in tranquil surroundings with serene notes floating in the air. But unfortunately it was captured only the last three sonatas (op. 109 111).
many of the above are impeccable -- especially Brendel (probably first choice) and Arrau (if you like Beethoven more as Liszt's predecessor than as Hayden's successor). But I also really like Ashkenazy. He gets such fabulously muscular yet purling tone out of the keyboard, and plays with such control and command, always thinking through the piece fully. The op. 2 sonatas are sparkling and idiomatic, and the great lates are as ethereal and strage as you could want. I'm not sure why his cycle isn't better loved than it is. Perhaps he's just assumed to be a Rachmoninov guy, and his classical era stuff is consequently overlooked. Certianly his playing on the Beethoven violin and piano sonatas is superb. On the other hand, his Mozart is a bit clunky, and his Schubert is no match for Brendel's, though no one else's is either,'cept maybe Perhia.
Mixed review of Schnabel's? The only thing you could quibble with would be the sound quality. If you get the Pearl set, the piano tone is rather well preserved along with all the hiss =)
Performance wise, Schnabel's set stands head and shoulder above everything else available. Supplement judiciously with some Gilels on DG and Stephen Kovacevich on Philips.