Hello all - the Schumann Konzertstuck is indeed a great piece. I do have that Gardiner recording, though it would be not quite correct to call all of the instruments natural horns - at least a couple of them do have valves on that recording. They are period instruments, but valves had been invented by then and were already in wide use. I would have to dig the liner notes out to figure out exactly what sort of instruments those are that are used on that recording.
Schubert, do you remember who the other three soloists were when you heard Baumann play it? Were they people from the Gewandhaus section?
By the way, I would not say the Nielsen is grossly underplayed - it is a staple in any good woodwind quintet's repertoire. However, there are probably less than a handful of professional woodwind quintets, at least that tour at all. I have played the piece a few times. For another great woodwind quintet piece, try the Samuel Barber Summer Music, if you do not know it.
A couple of other great chamber works involving the horn would be the Beethoven Septet, and the Schubert Octet.
Newbee, the Gliere is a great concerto. Baumann has an excellent recording, and another interesting one is the Valery Polek one, with the composer conducting! Polek premiered the work.
Another really great horn concerto is by one of Schubert's favorites, Hindemith. It was written for Brain, who made an excellent recording of it. Another great piece would be the Britten Serenade for Tenor, Horn, and Strings.