Thal, suggesting Brahms?
Blasphemy.
In all seriousness, the Beethoven mentioned above might be a good idea, though I'd be hesitant to call Op. 31 "late Beethoven". Late Beethoven to me means Op 81 and beyond, though I'm sure many disagree.
As for actual recommendations, here are some.
Mozart: - D minor fantasy. Not romantic era but definitely a romantic piece.
Schubert: - Impromptus No. 1, 3, 4, 5, and 8. (From Op. 90 and 142, respectively).
- Sonata in A minor, Op. posthumous (A huge challenge, but definitely fits the bill!)
Beethoven: First sonata, f minor.