I love that Vanguard Wunderhorn LP. Wore out my first copy. Managed to find a near mint copy on EBay.
I also second the Haitink/Ameling 4th.
The 9th with Barbirolli and the Berlin Philharmonic on EMI/Angel is great, musically and sonically.
I first got to know the 9th and Mahler for that matter on a wonderfully sounding performance by Kondrashin, of all people, also on Angel. Evidently he was a Russian Mahler specialist.