Since you didn't specify a budget, a fairly easy set to collect is the 1936 S&S Game cards. They came 52 cards in the set, featured black & white photos of each player as well as biographical data, and included I believe about 17 or 18 HOFers out of the 52 different players shown.
They are relatively cheap and you should easily be able to put together a decent set for less than $1K. While roughly a third of the set consists of HOFers, none of the really big names like Ruth or Gehrig are included, which helps to keep the cost way down.
Though some collectors don't necessarily like them because they were part of a game, nor had color photos, they were actual photos and not the art-deco type drawings depicted on some of the other suggested sets like the Delongs and Diamond Stars. Plus, since they were issued as cards to be used in a game, they were printed on a little bit stronger and higher quality paper that was intended to hold up to the use and were made with rounded corner like regular playing cards, so they weren't subject to the dinged corner abuse most baseball cards from back then suffered. In other words, though relatively inexpensive for pre-war cards, they can usually be found in relatively nice shape also. Sort of a good match for someone trying to get their feet wet in pre-war collecting without going overboard on the cost or search.
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