I know very little Henze, other than Undine and the Six Songs from the Arabian. I also saw a DVD of L'Upupa, which is a beautiful opera, in my view, after someone on the old boards recommended it in the 'best 20thC opera' thread. Must investigate more - do you have any particular recommendation?
There's a Henze thread in 20th Century (I think there was a much longer one at TOP as well). A few years ago DG brought out a series called "The Henze Collection" which reissued most of the material they'd recorded in the 1960s and 70s, all of which is pretty good. If you're articularly interested in his operas, the tragicomic
Der Junge Lord is complete in that edition and worth hearing, as is a disc of excerpts from
Elegie für junge Liebende which is absolutely wonderful (as is its Auden libretto). I'm not so keen on
Die Bassariden or
L'Upupa myself,
We come to the river has never been released as far as I know, and I haven't heard
The English Cat. I once heard the enormously long lyric opera
König Hirsch on the radio, and I'd go quite some way to have the oportunity to hear it again, or preferably see it.