I actually got a complete set of his symphonies, his two string quartets (I think either he only wrote 2, or only 2 survive), Elverskud, a piece for clarinet+piano, the oratorio (?) Kalanus, and some other stuff. Oh yeah, his Violin Concerto.
Of all the symphonies, I think the best are 1 and 5. To be frank, in my opinion, while none of them are what I'd call bad, only 1 and 5 are particularly good. Most especially, the first movement of each. #5 is often noticed because it employs a piano, but that's not the only thing that makes it good; I think it'd be a very nice symphony even without the piano, but it certainly does add to the interest, and Gade uses it well. Probably, as a whole, #1 is my favourite.
The two string quartets I have are performed by the Cailin Quartet, a group I don't remember hearing of anywhere else. The A Major quartet has three movements, while the E minor has the usual four. They're both adequate, though the first movement of the A Major lasts longer than its material warrants. I have never given either work but a single complete listen, but I don't remember being turned off... then again, I don't remember being turned on, either.
The work for clarinet&piano has a really ear-catching opening. I couldn't hum it to you now, but I do remember it made a fairly pleasant impression. I had to check to get what it was: Fantasiestucke for Clarinet and Piano, Op.43. Yep, got it playing again now. Not half-bad! Clarinet+piano is not one of my favourite combinations, but it's not too long (around 11 minutes), and is really nice. Not something I wake up in the morning with a sudden urge to hear again, but if it's on, I enjoy it.
As far as Elverskud goes, the pastoral movements are really worth a listen. I've got to be honest and point out that I've never listened to 100% of this work. I just couldn't wade all the way through it.
Kalanus is another chorus+orchestra piece that's on another plane. I was very impressed with it. I think throughout it's hour+ duration, it ranges from slightly good to very good. May not be everyone's cup of tea, but I definitely am not disappointed. I don't know what it is about it, but I think it's very effective, and a bit imposing (in a good way) with its... subdued dramatisation? I'm not sure what words can convey it. Majestic might be a good adjective. But not usually loud and bombastic, more like noble majesty.
As for the Violin Concerto, some people like it pretty well, but sadly I'm not among them. I like it a little bit, but I doubt I'll ever give it another full listen.
Recommended? I suppose I would, selectively. Clearly, all of the above is only my opinion, and you'd have to know my personal tastes to recognise whether or not my suggestions would have a reasonable chance of helping you out.
My picks: Kalanus, Symphony #1, Symphony #5