$1 chips are the most popular and hold their value well. You seldom see a $1 chip that cannot fetch its face value, assuming it is in near mint condition. $5 chips don't always hold their value (but the limited editions generally do), and higher values are definitely a mixed bag. The lowest values - 10 cents, 25 cents, 50 cents - are very hard to get (most casinos don't issue them) and almost always sell for a premium.

Las Vegas chips are the most popular city for obvious reasons. Smaller states (from a gambling perspective) like Washington or my state, Michigan, are not as popular - but collectors of those states are more likely to complete their collections, I would think. That is partly because the chips are more affordable - a consequence of being lower on the popularity ladder.

Laying aside monetary value, it is important to collect what you like. It is also important to know that you can't have everything, so you will eventually want to focus your collecting on what you like most.

Trading is the best way to build your collection. If you visit a casino, bring home a few extra chips - not just one - and offer to trade with others who have done the same.