I second the recommendation for David's site, and also HIGHLY recommend you buy this book:
http://www.amazon.com/Portrait-Baseb...1830101&sr=1-1
All of the PSA business aside, this publication gives a very in-depth look at the world of collecting baseball photography, as well as the histories of various news services, photographers, and the medium itself.
In terms of collecting, I haven't much advice, only to get your hands on stuff that excites you - stuff that you love and will enjoy. I'm sure fellow board members (I'm looking at you Jimmy and Ben!) will gladly chime in.
Graig