Well, I wouldn't go for the Grieg, though it is a, let's say thankful concerto; you can easily play it well without having the appropriate technique ( though you'll find a lot of passages that might give you a really hard time), but to play it the way it will satisfy you and any audience you need experience and advanced technique as much as a good sense of interpreting Grieg.
Besides the tricky passages, and there aren't only a few of them, especially in the 3rd movement, there are three other major problems:
You'll need time to get comfortable with some of the techniques needed.
It'll give you a hard time memorizing.
AND, it does only make sense if you got either a really good accomponist or an orchestra to play with; the concerto is, same as Schumann's, based on the solo-tutti relationship, their dialogue and it's tension;playing it alone causes a great loss of musical brilliance.
I'd rather follow martin's advice; classical conertos are mostly structured in blocks, so you can be your own accomponist while performing it. And they're also bearing high technical difficulties and many ways to put your feeling into them.
Finally, you could have a look at Beethoven's third piano concerto (c-minor; it marks a major change in B's composing) or Mozart's Concerto in F-major, KV 459, not really difficult at all.
The major reason for this advice is the fact that you never played a complete piano concerto; believe me, that ain't a piece of cake, you can easily loose yourself or get problems with your phisical condition.
However, I hope that somehow helps you out.
laters

and good luck!