Classical Music Buying Guide
Classical music (in this case, Western classical music) refers to a broad genre of music consisting of numerous sub-genres, ranging from the end of the Roman Empire (circa 400 ACE) to the beginning of the 20th century. Clearly, it requires massive textbooks to undertake such a time period, and thus this guide will simply highlight the major shifts throughout the millennium and a half and try to point out a few interesting figures along the way.
Early
Medieval Classical
The earliest form of Western classical music came out of medieval times (400-1400 ACE), at the end of the Roman empire until the Renaissance (admittedly an arbitrary date). Music from this era has only survived in manuscripts, which were invariably written by wealthy institutions (usually the Church, hence the lack of secular music from this era) and thus did not reflect the popular preferences of the time.
Popular instruments of the time were the recorder, the lute, the sackbut, and early versions of the organ and fiddle. However, the foremost mode of musical expression was chanting, epitomized by the Gregorian Chant. It is a non-secular style of music from the early medieval era, using monophonic chants as the basis for the piece. If you are interested in Medieval music, Gregorian Chant is the best place to start.
As for the late medieval era, we see the beginnings of polyphonic sophistication present in secular music--a major change that reflects the beginning of the Renaissance. This was known as Ars Nova, and the dominant genre of Ars Nova was the chanson.
Common Practice
The age of Common Practice, also called the Golden Age of classical, began around 1600 and ended in the beginning of the 20th century.
Baroque
Baroque era began roughly 1600 to about 1750, coinciding with a vast transformation in architecture and art of the time. Baroque music is typically more intensely emotional than its Renaissance predecessors, and also features the beginnings of ornamentation, which allowed performers to improvise various portions of the piece.
Major artists of the time include George Frideric Handel, Antonio Vivaldi, Claudio Monteverdi, George Telemann, Domenico Scarlatti and Johann Sebastian Bach. 
Classical
As with the Baroque era, the style of music, along with the architecture and literature of the Classical era, reflected a turn towards simplicity and clarity, proportion and balance, leading to a lighter, cleaner texture in the music. Classical period is usually considered to span 1730 to 1815. One major difference between the classical and the baroque styles is the turning away from movements centred on a single mood or emotion, and instead contrasting several different moods or emotions within a single movement.
A variety of instrumental music emerged as well: the sonata, string quartet, symphony, concerto, and the serenade.
Mozart, Haydn, and Beethoven were the major forces behind this movement, though Beethoven revolutionized music during his time and led composers into the Romantic era. Thus, he spans both ages.
Romantic
The Romantic era refers approximately to the years from 1815 to 1910, during which composers expanded upon formal structures to create more expressive and passionate pieces. It also features external influences in music, something hitherto unheard, such as music from Wagner, Liszt, Strauss and Tchaikovsky. Due to the rise of the middle class, many composers wrote music specifically for public performances, instead of for royalty or aristocracy.
Shape and unity brought by recurring themes throughout a lengthy work. Development of a brass section and an enormous orchestra.
Modern
20th Century
Modern Classical was greatly varied, influenced by the Impressionist and Expressionist movements outside of music, and spearheaded by the likes of Claude Debussy and Igor Stravinsky. Because of the explosion of directions taken by 20th century musicians, it is best to experiment with the composers you find interesting, and take it from there.
American musicians, for the first time, became accepted classical composers, from George Gershwin to Charles Ives. Arnold Schoenberg became a highly influential composer, as he developed the twelve tone technique of composition. Béla Bartók and Sergei Rachmaninoff were also highly influential in their time and today. Other artists worth understanding include: Giacomo Puccini, Aaron Copeland, Jean Sibelius, John Cage, and Leonard Bernstein, Steve Reich and Philip Glass.
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