If you want a short cut, some
ebay sellers offer an almost complete 1920-2012 cent collection at one low price. It saves you from years of hunting for missing dates especially if you don't have ready access to Canadian coins. Key dates can come as you want them.
It's the same thing for nickels... a near complete nickel collection 1922-2011 can be had from
ebay sellers. You'll only have to hunt the key dates.
Pre-1968 dimes can be had fairly inexpensively, always offered on
ebay.
My personal favorites are the nickel dollars, 1968-1987. I have the complete set. Other favorites are Loonies and Toonies and the 50¢ coins. Quarters can be a challenge as there are so many commemoratives to collect. However I find the Canadian quarters more interesting to collect than the American quarters. I really like the colored quarters: Olympic, Legendary Nature, poppy, pink ribbon are examples.
Then there's the Newfoundland set along with the Provincial coins and Pre confederation tokens. Lots to learn about and to collect. It's a nice addition to an American's coin collection.