The best complete set, in my opinion, is the set conducted by Neeme Järvi with Gutiérrez playing 2 and 3 and Boris Berman playing 1, 4, and 5. Gutiérrez's 2nd is by far the best in every way, in my opinion. Prokofiev himself has a good recording of the 3rd also, despite the bad sound quality because of its age. Richter also recorded a good account of the 5th.