These works are, for me, the highest possible achievement of violin music, and rank alongside the Cello Suites and the Well-Tempered Clavier as Bach's most meditative, introspective and spiritually profound works. They take you through a whole range of emotions and moods, and probably not coincidentally, like the Cello Suites, they end on a bright note, almost like the light of heaven shining down on you. Listening to the fugal movements is like being in a private cathedral of sound. And I say this without being a religious person in any way - this music is more personally spiritual, without being necessarily 'religious', like so many of Bach's vocal works.
I first heard these works performed by Menuhin (like Grumiaux, a student of Enescu), and though I retain a fondness for his recordings, I think Grumiaux's version is, all around, the best. I do agree with some of the other reviewers that Milstein can give a bit more passion, and I particularly like how the lower parts of the counterpoint are often more audible in Milstein (for instance, in the beginning bars of the D-Major section of the Chaconne - which is less accented in the Grumiaux), but I personally don't like Milstein's steely tone that much, and Bach sometimes sounds too much like hard work in his versions. In contrast, Grumiaux's tone is much warmer, I find, though he can put on the power very well whenever it's needed, and his playing is so effortless, one is able to really appreciate the beauty and profundity of Bach's works.
I'm very partial to period interpretations normally, and having now acquired Rachel Podger's recordings, I prefer those in many aspects; but on the whole, I find Grumiaux better than the other 'authentic' performance I've heard, that of Kuijken. Grumiaux IS old-fashioned, but he avoids the excesses of most of the others of his generation (even Menuhin takes some movements - like the third of the G-Minor - so slowly, it's impossible to remember it's a dance-movement!), and plays something that seems, to me, to be very much something in the spirit of Bach, even if not entirely 'authentic'. As Manze has said, there's nothing intrinsically wrong with playing Bach on modern instruments - the music is truly universal! Even though on a few points here and there I do prefer other recordings, overall, I find Grumiaux's is simply the best - and I think definitely the best introduction to this awe-inspiring music.