I'm only really just getting into Strauss and the orchestral works that I've heard to thus far are, to me, absolutely stunning, although I very much doubt that I would have appreciated the music as much a few years ago.
Listening to Also Sprach Zarathustra is like sinking into honey. The orchestration is amazing imagine, you score an organ for just one long note at the end of the first movement! And yet that works wonderfully in producing a sense of metamorphosis. For me, listening to the whole piece, I constantly have an image of humanity rising from and then above the primordial soup no coincidence when it was inspired by Nietzsche. Indeed, it's fascinating to think of how Stanley Kubrick used the opening movement in 2001: A Space Odyssey exactly as that, although this nod to Nietzsche perfectly sets the tone for the whole film: is Hal 'Übermensch'? And is Also Sprach Zarathustra the zenith (the 'Übermensch', if you will) of Romantic music? Like Beethoven before him, Strauss spans two musical eras and you can hear, even at this stage, harbingers of 20th-century music, far more than, say in Wagner's work.
Eine Alpensinfonie is more obviously easy to listen to, perhaps, because there's a 'plot' that you can follow, but like Also Sprach, the orchestration is extremely lush.