I love all of Mahler - finding a favorite is like picking your favorite child! :-)
That said his most compelling FOR ME, not necessarily the easiest to digest, are his 6th, 9th, 7th, 2nd, 3rd, 4th, 1st, and 5th. The last movements of the 2d just blows me away! I can bring down the house. Right up there with the big duet in La Boheme. Love the 1st movement of the 8th, not so much the last movement. His 4th is the easiest to digest, along with the 1st for those just coming to Mahler. His 6th and 9th are best appreciated, I think, by those more familiar with his works. His 3rd and 5th are probably some of his more popular.
Too many versions to have any 'best' recommendations, but for just starting out I find that Benjamin Zander's recordings, which are quite good benefit from the inclusion of a separate disc in which he discusses the symphony. I find his version of #1 excellent, if for no other reason than the inclusion of Lieder eines fahrenden Gesellen by Christopher Maltman. And, I think, from an audio point of view, most all of Zander's recording are well done.
Another fairly complete (no 8th) is Michael Tilson Thomas' recording with the SFO in SACD for those who care. I find his performances in general are middle of the road. I do like his 7th more than others.
Lastly, when considering selections to be made, I find that many prefer a broad interpretation whereas others, like myself, prefer a more dramatic music, such as you might experience with Bernstein's recordings.
Hope that helps a bit.