Welcome Christian!
Although I also have a burning desire to complete sets, my first reaction was exactly what others have proposed. Start with an area that you are interested in (like HOF 2B'ers) and you will identify sets you like as you begin to accumulate those cards.
I would definitely recommend you start raw. If you are patient, vintage cards lots WILL pop up on ebay occasionally for a wide variety of sets. In fact, acquiring a larger lot for a particular set is often my impetus to decide to work to complete a set as set completion one card at a time just takes too long for me to stay interested in it. I also usually have a couple of sets going at once so that there is enough needed volume to keep me having fun and busy looking for what I need. When I get close to completing a set, I will usually add a new set to work on while patiently waiting for the right deals for those cards I still need in the near completed set. Invariably those cards are stars and take more time to find at the price point you like. While I often buy raw cards, I will look for good deals on graded star cards as well.
Good luck.
jeff
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