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.)
http://www.amazon.com/Brendel-Plays-Liszt-Vol-2/dp/B00005QKFT/ref=sr_1_8?ie=UTF8&s=music&qid=1266260478&sr=1-8
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.
