If you want just whistle playing, you could go for the two more-or-less definitive albums by Mary Bergin, Feadoga Stain and Feadoga Stain 2 or anything by Micho Russell or Willy Clancy (better whistle player than piper in my view).

If you want to play along with other instruments, any of the first several Chieftains albums might be a good place to start, as they mostly play at a steady pace - a bit slower than you'd normally get at a session. If you want to get your whistle smoking, try playing along with Flook. Or Finbar Furey.

You'll probably find it useful to have whistles in C and Eflat as well as D because some instruments prefer other keys, pipes can be in concert C or Eflat and bands like Stockton's Wing like to mix up the keys a bit. Also scope for fine-tuning your whistles is useful, as some recordings don't faithfully reproduce the original pitch.

Notwithstanding what Leadfingers says, you can't really stray far beyond a whistle's home key and a few related keys. Thus a D whistle is OK for tunes in D, G and their related minors and modes, and A. After that you need really another whistle.

Before spending anything on recordings, you could try playing along with BBC Radio 2's virtual session. It's excellent - just a pity they've never replaced or added to the tunes.