The Well Tempered Clavier by J.S. Bach is one of the greatest treasures in all of western history. Also check out Die Kunst Der Fuge (The art of the fugue)

Mozart's symphonies no. 31, 39, 40, and 41 are absolutely stellar. Especially 31 and 41.

If you like those, check out Haydn. His symphonies are fantastic. Arguably better than Mozart's. And there are more than 100, too. Try giving no. 101 a listen.

Beethoven has already been mentioned so I wont repeat what was said. But his 6th symphony is my favorite and his 7th is beyond incredible. Also, his 'Choral Fantasy' is Beethovens first attempt with the ideas that inspired his 9th symphony. It's by far my favorite Beethoven work and I feel that the choral parts outdo the 9th symphonies choral section. However, the 9th has better instrumental music. (Also, don't forget about his string quartets)

And while we are on the subject of symphonies, Dvorak's 9th is beyond words.

While I love Scriabin to death, I don't think his music is any good for studying. Check it out anyway. Op. 11 is a good one to get started with.