If you must have vinyl, then Bernstein, or if you can find it Bruno Walter.
On CD I'll second that a great "introduction" are the recordings conducted by Benjamin Zander. Ben is an excellent interpreter of Mahler. His recordings with the Philharmonia Orchestra of London in particular (on Telarc) come with a second CD, where Ben gives a lecture analysing the whole piece.
Ben is also Music Director of the Boston Philharmonic. There are a couple recordings by them also. Ben's main activity is teaching at the New England Conservatory in Boston.
His star cello student is Yo Yo Ma.
Also a live recording of the 9th by Von Karajan on DG is very good.