take a look at
www.oldcardboard.com and browse the sets that they have listed there.
Putting the set together, you need to be intrinsically motivated to do it. Don't do it because other people think it's cool to do.
I'd find a set that is somewhat rare, but not impossible to do. If a set is super rare, then whenever the card you need becomes available you will have to go after it.
You just have to be patient. Find cards with flaws that present well which will help keep the cost somewhat down.