I posted a thread like this a while back and I got some great advice. Some things that I've found since:
1. Look exhaustively at every set you can find. For pre-war, deanscards.com has a good card guide on his homepage with set descriptions and checklists. I started with T201s and a few Exhibits, but found TONS of other sets that I really liked and have kinda derailed my focus. No regrets, but there's a LOT out there and it helps to look at it all.
2. Use the B/S/T on this board to find great deals and build relationships. There are some very nice folks on the board and I think you have the best chance of finding "authentic" cards there, versus ebay. Also, so far, I've tended towards graded cards as I feel that they're more likely to be authentic over raw cards. Until you know as much as the pros, I feel like you're better off buying that way.
3. There are about a million auction houses other than ebay (who knew?!?). I've found some good deals there, and you can often buy lots of 2+ cards at once to build out your sets.
So, with that in mind, the T201 set is really cool, really "vintage" looking and relatively inexpensive (Cobb, Lajoie, Speaker, Johnson and Matthewson will cost you), but the art isn't particularly realistic.
I really like the late 20s, early 30s Exhibits cards as well. They are basically just postcard-sized photos and I'm sure that with a few exceptions most of the big-name HOFers are represented. Lots of times, these cards are pretty inexpensive.
Another good bet is the 1939-1941 Playball sets. Cool photos, fairly cheap, etc.
Another late few sets I like are the early 50s Bowman cards. Very cool art and good players. Longer checklist though (but nothing like the T206 checklist
).
Good luck!