I hope nobody minds me making a couple of points in case this enjoyable thread rides off into the sunset before I get a chance?
The ballads, in my opinion, are occasionally treated with far too much reverence; quite often, even the term, 'Big' can be off-putting, both for singer and listener, creating a barrier to their enjoyment before you even start to tackle them. I once heard quite a good singer once say "Oh, I'm not ready for the ballads yet", as if she was talking about climbing Everest (or going to a Celtic-Rangers match).
They are stories; old, sometimes long (though certainly not always), and often carrying fairly obscure lore and information embedded in them; but stories, just the same.
I always found that a bit of background reading helped me to enjoy and understand them, both as a singer and a listener. Not necessarily the heavy stuff, which I often found hard going and could be a hindrance rather than helping.
Evelyn Kendrick Wells's 'The Ballad Tree' and Willa Muir's 'Living With Ballads', both at one time or another criticised for being 'too lightweight', were great general introductions to the genre for me, and both extremely enjoyable reads, if a little wide of the mark occasionally. Similarly, Madge Elder's 'Tell The Towers Thereof' and 'Ballad Country' are invaluable scene-setters for the Border ballads, as is George MacDonald Fraser's (creator of the 'Flashman' series) 'The Steel Bonnets'. Nigel Tranter's 'True Thomas' is also a good context introduction for 'Thomas The Rhymer' and an enjoyable historical' romp' into the bargain (as are many of his books on Scots history) His James v trilogy doesn't do too bad a job in adding, (albeit fictional) flesh to the bones of 'The Gaberlunzie Man'.
(Cap'n – I was winding you up when I said I didn't like T T R – it's a great ballad, though it can become a little turgid if it's taken too ponderously. My friend Bob Blair (sometime Mudcat lurker) makes a wonderful job of it (I think on one of the Argo 'Poetry and Song' or 'Voices' series)).   
For anybody Interested in the folklore to be found in them, Lowry C Wimberly's 'Folklore in the English and Scottish Ballads' is, in my opinion, unsurpassed, both as a cover-to-cover read and as a long-term reference book.
All of these, and more, have helped me considerably to enjoy listening to and singing the ballads and prevent them becoming 'interesting' museum pieces. I would be interested to learn if anybody has any other similar inspirational reading.
There is another point related to all this I wanted to make, but this has become far too long as it is so maybe later.
Jim Carroll