When you start collecting it can be a lot more fun if you pick a team, player or set to collect rather than trying to collect everything.
For instance an extreme would be a friend of mine who would collect the autographs of coaches. He had first base coaches, third base coaches and even bullpen coaches. He would either get a rare card or send to them asking them for an autograph. It was a very unique collection.
You can also pick a particular product and try to complete the entire set.
I know someone else who gets the first card of every set that comes out. He has a #1 for just about every set since 2000 in baseball cards.
You might just want to collect players from your favorite team or of your favorite player. A collection of just Greg Maddux or Albert Pujols cards would be quite valuable.
Do you have a special collection? I'd love to hear about it.