The four Brahms symphonies are among my favorite works, even as a pianist. I would highly recommend the boxed set of the pieces recorded by the Scottish Chamber Orchestra, conducted by the late Sir Charles Mackerras. I have recordings from giant orchestras, e.g., NY Phil with Bernstein conducting, and yet I much prefer the Mackerras renditions with the SCO. They possess a rhythmic energy and clarity that is unmatched. Also fascinating is the companion CD with interviews of Mackerras, who clearly is a true Brahms scholar.
Viva Brahms!