People have been telling me about this for years, particularly my friend, David, who was abducted by aliens. I just listened to it for the first time, and it really is great. I seldom like a classical work on a first listen, and even after a score of times I never warmed to Pierrot.
My recording is Uchida and Boulez. Here she is, eagerly speaking about the work.
If you listen to some of Schoenberg's early twelve-tone piano pieces and nothing else (this is all one is usually exposed to in an introductory music class), you're tempted to dismiss the composer altogether. In fact, I still don't like these. But listen to the Pelleas or Verklärte Nacht, early, "tonal" (frightening) works, and the talent is clear. Even before I did that, I read some of his writings about his own music: the man was a craftsman, and an intelligent one at that, like the result or no. It's nice to learn even his dodecaphonic stuff can be attractive.
Belmont Music distributes Schoenberg's music. Figure that one out.
*The only exceptions that come to mind are the Claire de Lune and Górecki's Third (I just discovered the latter's passed. Sad). I can actually remember the first time I heard both of these, one while combing through sample mp3's that came with one of our computers when I was 17, the other on a car ride to the Red Cross the summer I volunteered. I got to the office, then spent a half hour waiting for the piece to finish to find out what it was called.