I have about a dozen versions of Winterreise, and I listen mostly to Goerne because I like his performance and it is one that has been ripped to my server. Strauss' Four Last Songs has so many great performances; I tend to listen mostly to Schwartzkopf and Janowitz. My other often played lieder recordings is Mahlers Das Lied von der Erde with Brigitte Faesbaender.
There are some very good modern lieder composers that are worth looking into. I think you could pick up any Eric Whitacre recording and find something you will like.