Naxos has a HUGE set of the transcription of Brahms' works, including the symphonies, concerti, and the German Requiem, for two pianos.

And, yes, I completely agree with you on Liszt's transcriptions. Apart from a few moments where the thing sounds a bit awkward, it's wonderful.

And look for a couple of CDs with Gil Shaham and piano accompanist playing many short orchestral works, like the Danse Macabre for instance. One of them is called 'Dance of the Devil.' The other is a CD with opera transcriptions.

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Regards,
Navneeth