For sets, I would recommend either Bernstein/New York Philharmonic on Columbia or Kubelik/Bavarian Radio Symphony on DG in terms of most fittingly portraying Mahler's odyssey. For some other, very fine individual performances, try Kletzki or Klemperer on EMI, both conducting the Philharmonia Orchestra or Solti/Amsterdam Concertgebouw Orchestra on London/Decca in the Fourth; Barbirolli/Berlin Philharmonic in the Sixth and Walter/Columbia Symphony in the Ninth.