Posted By:
Al C.risafulliI'd second the vote for 1935 Goudey. Without getting into all the different puzzle combinations, you could probably complete a set in VG-EX for $3500 or so. I sold a set about a year ago, minus one common, in about VG condition, for $2300.
I also think 1941 Double Play in off-grades is underappreciated and not too expensive.
Diamond Stars (minus the high numbers) are also a good bet - the lack of a Ruth or Gehrig has kept those prices down, even in the EX range, and the cards are absolutely gorgeous. The other thing about Diamond Stars that's nice is that the stock is very heavy, so it's very possible to find these cards raw in great shape. The low numbers are a challenge (and the high numbers are a BEAR), but the set is conquerable.
Of course I think the best value in prewar cards are in the Goudey and National Chicle premiums of the 1930s. Without getting into all the variations, it's possible to build a nice set of Goudey Wide Pens or Chicle Fine Pens fairly inexpensively, and the cards are beautiful, and relatively plentiful. They're challenging because there are a decent number of cards, but nothing so ridiculously expensive that it's going to crush you.
EDIT: now that I think about it, if you stay in the 1930s/1940s, there are a lot of options that won't hobble you - Playballs are pretty affordable in low to mid grades, and 1934 Goudey isn't too horrible (although there are two Gehrigs to contend with). 1938 Goudey isn't so bad in lower grades, although there are a lot of HOFers (and two cards of each) to contend with. 1948 Bowman isn't horribly priced and there are some really nice cards there as well.
Good luck!
-Al