I collect Proof Sets because I love them. I wouldn't choose them as an investment.
The prices are pretty reasonable for all of them. It's tough to say which ones to buy, because they've got different appeal. I love pre-1964 sets, because I love the
Franklin half dollars. I also love the early 70's proof sets (and Brown Ike's) for the
Eisenhower dollar. The sets that I really don't like too much are the middle 70's to early 80's. The coins are dull and boring. IMHO, the biggest disaster of a coin, the
SBA Dollar is one of the reasons. Also, the packaging on those coins is stale (the have one of each coin and a cheap plastic "display case").
Recommendations.... As I said pre-1964 sets are georgous and well done. Right now, I'm looking to complete the "Silver Prestige Proof Sets" from the 90's. They are beautiful examples of very well struck frosted cameo's. I also recommend the proof
State Quarters and proof
Presidential dollars as a couple of sets that are well represented in proof.
If you're looking for good deals on proof sets, try "Coins by Bobby." He's got nice deals on individual sets and on set runs....