Wikipedia (1898-1937) [American. Modern.]
If you're just gonna listen to one: Piano Concerto (Earl Wild)
Background
Most people think of musical theater and popular music when they think of George Gershwin: jazzy numbers, music that has entered the repertoire of "standards." But Gershwin definitely wrote music that follows standard classical forms, including a piano concerto.
Orchestral
Rhapsody in Blue (Lenoard Bernstein)
An American in Paris
Piano Concerto (Marc-Andre Hamelin)
Second Rhapsody
Porgy & Bess Overture
Chamber Music
Lullaby for Strings | Lullaby (string quartet version)
Short Story