While the Chopin etudes (like all etudes) were composed to help with the technical capability of the player, I definitely enjoy listening to them. My personal favorites, in no particular order are

Etude Op. 25 No. 11 “Winter Wind”
I love the sudden explosion in the beginning. It is a very tragic piece that is full of viscousness. Definitely a right-hand killer.

Etude Op. 10 No. 12 “Revolutionary” A very explosive piece. It has a very simple form, but the short length prohibits that from being a problem. Definitely will help you build dexterity and stamina in your left hand.
Etude Op. 10 No. 4 “Torrent” Very similar in dynamics to the two prior pieces. Full of scales and minor chords.
A piece that is full of desperation and angst.
Etude Op. 25 No. 12 “Ocean” The last etude made by Chopin. This will definitely work the left and right hands. You can really sense the desperation in this etude.
What are your favorite Chopin Etudes?