There is no right or wrong way to collect, the above advice is spot on and what to collect is a very personal choice. I chose Lincoln cents as I find the life and history of Lincoln to be very compelling and immensely interesting to me. I also chose to do the full date/mm set for the challenge due to the immense size of the set (142 coins in the 09-58 set alone) where a date set, or proof date set, would have been much smaller and far easier to complete and perhaps less expensive. Consider the costs such as initial cost of the coins, storing the coins can be costly as a large slabbed set like mine does take up a few bank boxes to store, the look you want as in mint state or circulated; all these and more can factor into your choice.
I would suggest going to a show if possible and looking thru the registry sets available here to see what piques your interest; date sets, full sets, type sets, sub sets, toned sets, sets biased on a theme US sets, world coin sets; they are all possibilities. Just remember that its a hobby and to have fun, if you start down one direction you are always free to put that on pause to pursue a different direction should you find your first choice not to your liking.