Great Saxophone Artists and Albums

Houston Person - Art & Soul, To Etta, etc.

Well recorded:
Joshua Redman, Spirit of the Moment - Great live album, really cooks
Jeff "Tain" Watts, Detained at the Blue Note - Phenomenal with Marcus Strickland and Kenny Garrett

Masterpiece saxophone albums:
John Coltrane, A Love Supreme - One of the greatest in the history of jazz
Sonny Rollins, The Complete Prestige Recordings - A master musician

Honorable mention:
Hank Mobeley, At the Cafe Bohemia, with Art Blakey, Horace Silver, Kenny Dorham
Phil Woods, More Live - A great sax player, a little more laid back, great recording

Houston Person "Soft Lights" and Scott Hamilton "Nocturnes and Serenades". Some of the best tone quality for digital sax that I have ever heard as well as great music.

Here are a few more to consider; Art Pepper, Wayne Shorter, Stanley Turrentine, Hank Mobley.

One problem with the question you (OP) have posed here is that the sax can go so many ways that it's safe to say that there are great sax recording that you'll love and great sax recordings that you'll hate.

Given the Kenny G reference, I'll stick with mainstream melodic playing (tho more widely admired songwriting) and suggest Coleman Hawkins "Body and Soul". You can leave some of the more adventurous material for later.