Tim,
I collect Washington players rather than sets, so for me the "have to have" usually means something I've never seen or heard of before. I'm one card/item away from a complete Washington subset on about 40 prewar sets. Some, like the Elberfeld portrait T206, I can get just about any month on the Bay. Others, like an L1 leather or PM1 ornate pin, are so far out of my league that there's not much point in having them on my list at all. My favorites are the things like this BF-unc felt of Ainsmith. More like a big fish than a white whale--I didn't know it existed until I saw it, but then I went after it.
My goal at every card show (the few I go to, anyway) is to finish one Wash subset and start another. Sometimes I can do both with a single card, when I hit on one like the E92 -101 -102 -105 Schaefer where he's the only player in the set.
Someday the T222 Henry will be on my list, too, but for now I'd be happy with a McBride or a Morgan. My National want list right now is for some type items, like a W600, E107, Rose postcard, etc.
Bill