One of my passions since my early teens was early jazz. In fact one of my favorite web sites is http://www.redhotjazz.com. It is a treasure trove of recordings made before 1940. If you click on "Bands" you'll see what I mean about the astronomical number of recordings available. The one thing I don't like is that you have to click on each individual title to listen, but if you want to hear some great music from about 1917-1940, it's a great site.
I'll probably have to wait until I retire to do this, but my goal is to listen to the recordings of each band alphabetically. I just want to find out how long it would take.
There are also some semi-hidden treasures, too. For example, there is a whole separate section of Paul Whiteman radio broadcasts from about 1930 well into the '40s. The ones from the mid to late 1930s often feature Jack Teagarden and vocals by the Modernaires, pre-Glenn Miller.
There are also a number of recordings by hot dance bands such as Ted Weems and my all-time favorite, the Coon-Sanders Nighthawks. Although on the recording they used of "High Fever" (my favorite Nighthawks instrumental) there is a point where the record gets stuck. Some editing might have helped in that case.