BBC Radio 3 has a whole series about this called Building a Library. There’s a UK retailer called Presto that annotate their stock with the different endorsements too - they sell digital files as well, if you’re not in the UK. Then it’s really about learning what you like. Personally, I’d start by period: broadly, Baroque (Bach, Vivaldi etc), Classical (Beethoven, Mozart etc), Romantic (Debussy, Ravel). The periods have identifiable styles and can be a good way to introduce yourself to the nuance of the compositions. Finally, there’s a question of instrumentation: whether you prefer orchestral, vocal, chamber, solo etc.

Sounds like a lot of work, but remember it should be fun! It’s new music, a bunch of which you’ve probably never heard before. Have an open mind and dive in!

Also, assuming you have access where you live and the means, live music doesn’t have to be prohibitively expensive. Check out the programs at your local concert halls and go down to hear some music.