We've got the Puffin Book of Stories for 5 Year Olds (and the one for 6 yr olds too!) and it's good - I've also bought them for friends' birthdays.
Others I can recommend are any of the Roald Dahl ones - particularly Charlie and the Chocolate Factory which, to my kids' delight, is read by Grandpa in My Pocket. And George's Marvellous Medicine read by Richard E. Grant. And I would second The Owl Who Was Afraid of the Dark, read brilliantly by Maureen Lipman. Also the Mr Gum series are hilarious, read by Andy Stanton himself.
We LOVE audio books in our family - they are the saviour of our school run!