One way that I like to build my collection is by Semi-Key Collecting. Instead of getting all the common dates, I like to buy slightly rarer dates. I don't get extremely common dates, like the 1936 Buffalo nickel, or extremely rare dates, like the 1885 Liberty Nickel, but I get mid-mintage dates, like the 1894 Liberty Nickel.
Instead of getting a date run of the Indian head cents if 1905-1907, why not spend the same amount on an 1885 Indian? It isn't even that valuable, but costs the same as the date run. Instead of getting an 1864 Bronze Indian, why not get the 1878? This one is a semi-key worth $35 in G-4, while the 1864 is $20 in VG-8. Instead of getting an 1887 Liberty Head nickel, why not get the 1894?
It is enjoyable to have an incomplete date set, when you already have the semi-keys! Instead of a VF-20 1930 Buffalo Nickel, try a VG 1914 Buffalo. Semi-key collecting does not only mean the coins worth $15-$30, but try coins like 1912-D Liberty Nickel, a One-of-a-Kind coin, or, if you can afford it, try the 1857 Large cent. Neither does it mean getting coins with a mintage of 1,000,000-10,000,000, but how about the 1896-S Half dime, with a mintage of 230,000, but yet is worth $20 in VG-8. Or how about the 1855 Silver Three cent worth $50, and a mintage of 150,000.
All series of coins have semi-key dates. From the 1821 Matron Head Large Cent to the 1931-S Buffalo Nickel to the 1926-S Mercury dime. If you want to get a more expensive type set, there are all semi-keys to get. If you need a Semi-key Copper-Nickel Indian Head Cent, go for the 1861, or Pointed bust 1860. If you want a set of Semi-Key Liberty Head Nickels, try to get 1883 WC, 1884, 1888, 1894, 1896, and a 1912-D.