Hi Frederic,
I agree with you, most of Chopin is highly romantic as found in the Preludes, Nocturnes, Polonaises, Ballades, Sonatas, etc. Liszt is also solidly romantic in his approach. One need only play pieces like the Petrach Sonnets, Nocturnes, Etudes, or Sonatas and take in his novel harmonic modulations to reach that conclusion.
Brahms is also clearly a Romantic, as is most readily apparent in his accessible Short Pieces. His music often calls for a "burnished" sound. Some of my own favorites that I have played are the Rhapsodies Op. 79 and 119, as well as the Intermezzi. Look at Op. 76, No. 6; Op 116, No. 6; Op. 117, No. 2; Op. 118, No. 2. I've greatly enjoyed playing those. You might well like a few of the Caprices too. I must admit, however, that his long sets of variations become drier and more "academic" at times. The sonatas have some wonderful moments though. So you might want to give most attention to his character pieces, at least at first.
Schumann is quite different. During his lifetime, his sheet music mostly gathered dust, then his popularity increased thereafter. Here again, I would first concentrate on the shorter character pieces. You might want to check out the Novellette, Op. 21 No. 1, the Romance, Op. 28, No. 2, Intermezzo, Op. 4, No. 5, Arabesque, Op. 18 and Blumenstuke, Op. 19 for starters. I've played them all and enjoyed these pieces. Schumann is noted for rapid changes in mood, dotted rhythms, somewhat odd notation on occasion, etc. But he had a wonderful lyric sense. Most of his writing, as you know, falls into the several longer cycles such as Kreisleriana, Carnival, Papillons, etc. It takes a much larger time commitment to study those cycles, of course.
The Romantic I enjoy the least is Mendelssohn. Although I've played many of his Songs without Words, I often find his composing--some, not all-- to be more shallow than the other composers mentioned. Some of it even borders on the banal in my opinion, i.e. his cadences. The other criticism I have is that he seemed to have a fetish about velocity, so much of his music is written in the tempo presto. I'm more of a lyrical pianist, but those who relish playing prestissimo probably think Mendelssohn is the greatest. In his longer, fast pieces like the Caprices, Scherzi, and Fantasies, they mostly seem to blur together like momentary pinwheels firing off. Afterward, they don't seem very memorable to me somehow. But it's probably the way they strike me, others may well differ on that.