Not so long ago a collector, writing online, bemoaned the impossibility of assembling a significant collection nowadays. This collector was by no means a newcomer: he had been at it for some years, and had attended pen shows. He really should have known better, but he certainly isn't alone in being obsessed with tales of years past, when collectors were few and pens extremely cheap to the point of overlooking the vast opportunities available now.
The fact is, pen collecting is still in its infancy. The great majority of collectors focus on just a handful of brands, and even then most are ill-informed about rarer variants, many of which still command only modest premiums over common models. In part, this is due to the lack of books that focus on specific brands and models, but much of the necessary information is available for those willing to search it out, whether in back issues of magazines or in the photocopies of original material available through the PCA's Reference Library.
Of course, there's no reason why you shouldn't want to assemble a complete set of Waterman Patricians or Wahl-Eversharp Deco Bands or Senior Duofolds. Nonetheless, there's a lot more out there for those ready to follow a different drummer. Much of this is personal, of course, so keeping an open mind is paramount. Some collectors find their interest in unusual filling mechanisms; others in unusual nibs or different materials. Demonstrators are still very reasonably priced, especially considering that most were never sold to the public, as are fountain pens from the early era of mass-production straight-caps and taper-caps from c. 1885-1915. Many significant penmakers have failed to attract brand-specific collectors, at least so far. Examples include Wirt, Aikin Lambert, and John Holland, but there are many others. American collectors should also keep an eye on foreign brands. With the exception of Montblanc and Pelikan, most have been treated as they simply didn't exist.
In general, you are best advised to buy a few good pens rather than a lot of cheaper specimens. This is an old truism about collecting anything, for what is common will always be common. Look for quality construction, fine design, historical significance, and technical interest. Learn to distinguish the unusual and extraordinary from the run-of-the-mill. Don't cut corners on condition, either aside from real rarities, stick to specimens without significant defects or excessive wear. This advice may seem to be aimed primarily at maximizing financial returns, but in fact its applicability is much broader. Collecting is an investment in more than one sense, perhaps the most important being in future enjoyment of the collection. As one's collecting advances, lesser pieces that once seemed so exciting gradually lose their appeal and then one begins to regret not having purchased the better pieces instead, back when they were still affordable.
Finally, don't overlook the importance of good working relationships with leading dealers. An active dealer may have access to more pens in a month than the ordinary collector will see in years. Going through a top dealer may be the only way you will be able to acquire classic rarities, few of which are likely to be shown publicly when offered for sale.