1. Scheherazade; by Rimsky-Korsakov; try the version from Reference Recording
I still need to get this disk... I've heard kyyuan's version several times, and it is a fantastic recording of a wonderful piece. I also have Lonewolf's recommended "Pictures at an Exhibition" disc, and it is also excellent (as are all of the remastered Living Stereo CDs/SACDs that I've heard so far).
There are usually many recordings of a given classical work, and the trick is to find a disc that contains a great performance that was also recorded well. Tyson's listing mentioned above is a great place to start. I also recently picked up both the "Penguin Guide to Compact Discs & DVDs 2005/6 Edition" and Grammaphone's "The Classical Good CD & DVD Guide 2006" in order to build out the classical collection I've been wanting for a long time now. Oddly enough, I just today received an order than contained recordings of kyyuan's other suggestions, although my selections were based on the cross-referenced suggestions of the guides I mentioned. I certainly can't recommend the versions I ordered over anyone else's, as I have yet to listen to them, but I'll list them below in case you find it useful...
2. 1812 Overture; by Tchaikovsky; a number good versions on Amazon
The Antal Dorati/Minnesota Symphony Orchestra version of Tchaikovsky's 1812 Overture issued by Mercury Living Presence
3. Four Seasons; by Vivaldi
The Guiliano Carmignola/Venice Baroque Orchestra version of Vivaldi's The Four Seasons issued by Sony Classical
4. New World Symphony; by Dvorak; try the ones conducted by Solti or Kertesz
The Ivan Fischer/Budapest Festival Orchestra version of Dvorak's Symphonies 8 & 9 issued by Philips (Dual layer CD/SACD)
Good luck!