I have started collecting some MLB and NFL sets. I had a bit of a look at NHL but decided that MLB and NFL would be easier to collect. Personally i would be looking towards Topps and OPC sets. Have a look at some checklists and see what appeals to you but look out for cards with pieces of pucks in them - very cool.
I have decided at the moment on 2005/06 Upper deck series 1 & 2. Some pretty cool GU cards, plus Crosby and Ovechkin Rookie cards. Will definitely look out for puck cards though, sound awesome.
Some very cool stuff. Im collecting NFL and MLB 2000 UD sets ATM. Here's what you get in GU stuff. These cost me less than club player of the year cards.
Try Dave and Adams card World, Ebay.com or baseball card exchange.
You can get some really good buys in baseball card exchange. If postage is looking too much let me know. I have a mail forwarding address in the US that can save good $$$ on freight.
Have tried Dave and Adam and baseball card exchange. Might have to some more research. I just bought 11 GU NHL from COMC and total was under $30. BARGAIN!