I am not aware of any CD which contains all of the Liszt transcriptions, but here are a couple discs focusing on his transcriptions that I've found worthwhile:

• Glenn Gould's recording of the Beethoven symphony transcriptions: Amazon link and Amazon link #2 and Youtube link of an excerpt
• Jean-Yves Thibaudet's recording of the opera transcriptions. Amazon link and a Youtube link to an excerpt.

The following pianists have produced multiple recordings Liszt transcriptions, but don't have CD's devoted exclusively to the transcriptions (at least, that I know of): Vladimir Horowitz, Evgeny Kissin, Earl Wild