There's one by Telarc that is amazing.
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Very uneven composer. It's going to take you a while to learn what you like and what Liszt wrote (as a composer rather than as a pianistic improviser) that's good because there's real dreck in there.
The really good:
Sonata in b minor (I'll recommend the Argerich performance)
The Marguerite movement from the Faust Symphony (Chailly on EMI is fine)
The three sonnettos de Petrarca in the Annees de Pelerinage - just beautiful music
The best of all is the Benediction de Dieu dans la solitude, which I would point to as Liszt's best single piece - magical
(The last two can be found be found on the release below, which is a good performance by Alfred Brendel.)
There are a few more pieces, recordings that I really love but I'll leave it at that.
I will disagree with some of the other recommendations:
The Two Piano Concerti have their moments but are also filled with empty music. The Transcendental Etudes - maybe 1/3 of the pieces are any good - too much boring filler. The opera improvisations recommended by Rushtom can be found on that Brendel double CD set I recommend but they are pretty flat, IMHO. Wade into the orchestra music carefully because maybe 3/4 of it is just bad.
Look for the Claudio Arrau box set of Liszt piano music on Philips. He makes soulful music out of Liszt. Ashkenazy did a great recording of the Etudes on London label, also reissued on King Super Analog. I also agree with the Cziffra recommendation - it is hair raising playing. Earl Wild also has some very lyrical Liszt recordings on LP and CD.
My favorites are the Années de Pèlerinage, which include the Petrarch Sonnets.
And of course, Alfred Brendel has numerous Liszt recordings on Philips. His playing reveals much more of the structure of the pieces.