Mercury's are getting hard to come by in, lets say, XF and above condition. You could get some for that budget in VF and below and not blow your whole budget. You have to think of a good way to store them also so you have to figure that in as well. You might even think about
Roosevelt dimes, you can get these in higher grades for lesser money than the Mercs. You might even do a pre-1965
Washington quarter set for VF and below.
Franklin half dollars are pretty affordable right now also. Silver dollars, eh, you could, but then you have to blow your whole budget on a couple coins a month and that isn't any fun if you are looking to put together a whole set. Pennies are ok, I think you could do a pretty good set of wheats or even just memorials, memorials would be cheaper and easier to complete. Mmmm,
Jefferson nickels, anything that is circulating at present would be good to do. Anything previous to these and you will end up with holes because there are keys to each that are even beyond my price range. Here is a pretty good place to buy, they have a lot of coins in stock and it is fun to go through the lists they have.
http://emporium.turnpike.net/M/mikec/index.html