Bit late coming to this thread but some good advice re labels, genres etc.
I built my collection during periods as a keen player and singer at school, then as a music student (organ, piano, guitar), and then as a non-professional player making my careeer in something else, but still playing organ/running choirs or whatever, or at the same time as working on my harpsichord or guitar or later still Renaissance or Baroque lute technique. I went through some quiet patches for music where I was working so much my system was the main focus, but I always saw myself as a musician first and a listener second.
As a consequence most of my 'collections' have come about during periodic enthusiasms, some of which lasted years and some of which also repeated at different times. At school, Bach keyboard and instrumental, Beethoven piano sonatas and symphonies, Schubert songs. At university, mad enthusiasms for Josquin, Palestrina, Monteverdi madrigals, Haydn and Beethoven quartets, Schumann ... in later life filling in the gaps - Buxtehude, Couperin, all sorts of Renaissance music from Dowland to Barfark, endless baroque lute, baroque and romantic French organ music, Brahms and Wolf lieder, the bottomless well of the Bach cantatas .. and so on and so on.
It was always music-led and where something wasn't available on LP (as increasingly, things weren't as we got into the 90s) I bought on CD. In my early days I paid attention to the 'popular classical' usually encountered in orchestral concerts, and indeed went to a few such concerts - Brahms and Tschaikowsky symphonies, piano and violin concertos, the big warhorse Mahler and Brucker stuff - but perhaps because I wasn't really an orchestral instrument player (except for a brief, 3-4 year daliance with the French horn) it never floated my boat. Likewise opera - just not my thing. I have always gone to lots of concerts, but mainly renaissance, baroque and chamber or choral music.
So I'm afraid I don't have much to add about recordings and stuff. Yes, for baroque, most of the best stuff is on L'Oiseau Lyre and Harmonia Mundi, for example, but don't miss out on music that isn't on a fancy label, it can be just as good. As someone else pointed out, you get so-so performances on great labels well recorded, and wonderful performances badly recorded or pressed - when you get something that's both at the same time, expect to play it to death.
Follow the music, follow the artists whose recordings you like, and see what else they are playing. I'm a trustee of a long-established Bach festival and get to rub shoulders with the performers, some of whose stuff I've bought in part to support them as directly as I can.
I still follow the reviews - I get regular publications from various organisations, and that often leads down a rabbit hole of chasing recordings by a particular perfomer, or a new composer who wasn't properly on the radar previously but who turns out to quite magical (Silvius Weiss is a relatively recent example for me).
Then the search for new or second hand LPs or (most often these days, CDs) from a variety of sources, not just Discogs and eBay, but specialist outfits and frequently these days, from the performers themselves who often sit directly behind the likes of Bandcamp - yes it's great for 'Classical' too.
I tend to screen stuff first by listening to it on a streaming service (I use Qobuz) this helps me decide to fork our hard cash for physical media. In part this is because I spend as much on jazz these days as classical (possibly more) as I'm pretty well sorted for classical, but only now really getting into the nitty gritty of a jazz collection.
Anyway, I see my system as the portal to all of this wonderful music, and not as an end in itself. If you told me I could keep the music and was only allowed a shitty system, or could keep the system and, say, just 500 recordings, I'd keep the music.