I'm a big fan even though I am frequently reminded this is a rich mans hobby.
Start small. PCGS wisely created micro sets like the Texas Commemorative registry set - only 13 coins needed and none a huge rarity. You can register for a Lincoln cent registry that has every date, mint mark, major variety and error type from 1909 to 2018. Some of the modern Lincoln errors sell for $100k plus in MS65 so it is not realistic for most of us to complete such a collection in Gem BU. You can start with Wheat cents (basic set is still a whopping 140 coins), or Wheat cents since the depression, or maybe Lincoln Memorial cents. PCGS has thousands of sets to choose from so start with something you are likely to complete.
There are two ways to complete a set. You can buy circulated coins and quickly complete many sets. You can earn a surprisingly high ranking sometimes by doing this but of course you will top out farther down the list than those who choose the second method - going slow and buying the absolute best coins they can afford. For the Lincoln Wheat Basic set you could be in the top 50 with no coins above AU in the set.
I have sets that are a short-term goal and others I don't expect to complete for a decade (see my sets and rankings on the Coin Cabinet page). Short-term sets are silver proof state and national park quarters (both with flag labels). Long-term is my Lincoln Wheat set. I have a collection of MS65 CAC OGH Morgan's going that I may use for a basic Morgan set at some point when I have more than the dozen coins I have now. You can buy these coins for $100 or less sometimes.
If you don't register your sets you should nonetheless log your coins in the PCGS registry. I enter date purchased, from who, the price, if it has Gold Shield, label type (OGH, First Strike, Flag Label, etc.) and if CAC or QA stickered. Registering is invaluable for organizing, tracking, insurance support and even estate planning.
Don't miss the joy of looking at some of the top tier registry sets (often with pictures). Look at any set from Bruce Morelan. His wife once exclaimed "can't we buy a beach house instead of another silver dollar?"