For a great challenge, a lot of fun, and an interesting investment vehicle, consider building a complete 1908 to 1929 $5 gold indian coin collection. The gold indian benefits from having an interesting history (only incuse coin in the US, obligatory melt-down in 1933, fascinating design), but is challenged by its high acquisition cost. Of course, once you own these coins, the high prices these coins will command will make a great investment.
The collection is composed of coins dated 1908 through 1916 and 1929 from various mints.
I recommend you try to build a collection at MS-61, or at least AU-58, and try to go with coins graded by PCGS or NGC only. MS-61 coins benefit from being very attractive, fairly available, and fully mint-state*. More important, the price of most of the gold indian graded coins seems to rise on a logarithmic basis, which is to say that the difference in price between an AU-58 and an MS-61 is fairly modest, while the difference in price between an MS-61 and an MS-62 is prohibitive. Some would say you need to be a true expert to detect the difference between an MS-61 and an MS-62. Save the MS-62+ for the experts.
* For some reason, NGC certifies coins MS-61, based on the flawless surface, although the coin appears quite dirty (literally dirt). Gold does not react to dirt and oil (like silver) so this dirt and oil does not harm the coin. I recommend you buy your coins "sight seen" so you can avoid dirty coins - but this isn't a critical consideration - the coin surface is still MS-61.
You will find that the 1909-D seems to be the most common coin, while all of the S mints (made in San Francisco) are elusive, the 1909-O is very expensive, and the 1929 almost never available- and then only at an exhorbitant price. But don't worry, you can fill these coins in later. If you are a new collector, you will be fortunate to find that the gold indian coin market is actually quite volatile. Just a year ago (Fall 2005), you could buy an MS-61 "common date" coin (1908, 1909, 1909-D, 1910, etc...) for about $410. Today (Fall 2006), they are about twice that price. Use this volatility to your advantage and look for the dips in the market. Perhaps these coins are now at a "new level". That is because a healthy part of the indian's value depends on fluctuations in the price of gold. Weighing in at a quarter ounce of 22k gold,
Assembling a complete set of the $5 Indian set is a real challenge. Unless you have a lot of money to spend, it will likely take a few years and a considerable investment to put this set together. Fortunately, an unbroken collection commands a premium on resale, and is sure to remain a pre-eminent coin for collectors in the years to come.