Murray Cards puts out a price guide for all cigarette cards not just soccer cards, so that's a good place to start:
http://www.murraycards.com/books/bookcat2012.aspx
There's also a website dedicated to Huddersfield Town cards over the years and there are pictures dating back to the early 1900's:
http://homepage.ntlworld.com/roger.pashby/
If I had to guess, there are maybe around 50 different soccer card sets that date prior to 1920. Anyone else have any guesses? I'll try to put a list together from my various sources. There's more than you might think.
Side note re: Soccer Flags - these were put out by DC Thomson in "The Skipper" comic books in 1933. I believe there are about 64 in the set. Not sure if they were issued in sheets but based on the size of each flag (small), my guess is there were sheet supplements in a few consecutive issues.