Looks like you are getting some good suggestions.

Let me give you some thoughts.
For doing high grade sets, with proofs and still stay into a average
coin collectors budget, the best sets are modern.
I call them the presidents
Lincoln
Jefferson
Roosevelt
Washington
Kennedy
Ike
Of these Lincoln is the hardest an Ike the easiest. The Jefferson set
is a lot of fun and a very nice looking set when completed with high grade and proof coins. The big
Ike dollars are a good set ... I wish there was more coin (made for more years).
My favorite presidential set is Washington, the 1932 to 1998 set can be a challenge, and the first page has some high price coins. I like that it is a set that ends ... you don't have to keep putting the new coins each year.
Also think about the modern commemorative dollars, you can do proofs or UNC's ... or both, check out the commemorative section for some good post on these.
You were asking about older coins ..and want high grade or proofs.
As others have posted, older coins and proofs means expensive.
Most all the classic coin series have at least a couple higher priced coins.
The majority of collectors never finish these sets.
The
Mercury dime set can be done, but most never fill the 1916 D hole,
the 1921 D and 1921 are also expensive in higher grades.
Walking Liberty half dollar have several expensive coins, but can be completed in lower grade coins.
Buffalo nickel sets also have a few set stoppers 1918/7, 1916 over 16 and the 1937 D 3 leg buffalo.
Indian Head cents, another hard set. Pre 1879 coins in high grade can be very high. Also the 1909 S ... It is in the $400 range in lower grades.
Pretty much all the sets that have pre 1900 coins will have some very hard or impossible coins to complete.
So what could you do. As others suggested a dollar date set or proof set
are both very good sets and can be completed ... Type set can take many years.
Or you can just buy nice coins that you like, and not worry about completing sets. There are coin cases or albums where you could what coins you choose.
You could buy a blank Dansco binder .. Put a blank cent page a blank nickel page ... blank dime page .. Etc and fill it any way you want
Just something to think about ... Enjoy what ever you decide to do.