If you're buying raw, look for large lots of cards and buy the stars individually. Best to look for lots if you're collecting a 700+ card set. Personally, I'm working on a 1963-64 Parkhurst set all PSA graded. I find baseball sets too huge with too many commons. Older hockey sets are usually around 100 cards or less and filled with stars. If you wanted to do a smaller set, I personally like team sets. That way, you could do a graded set since you wouldn't need so many cards. I'm thinking about doing some team sets where I already have the best card and then fill in the rest.
Lastly, don't overbid or overpay. If you find yourself in a battle over a card, let it go (unless it's super rare or the last card for your set). I've done this and I usually get the card cheaper at a later date (not a Sunday night!)
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