Currently, the sets available for the pre-1871 German States are almost non-existent. I realize that this can be a daunting area given the number of small States and denominations. You would probably want to start with the most popularly collected issues first. A good place to start would be the Kingdom of Bavaria Double Thalers issued between 1837 and 1869. It would be a fairly large set with a nice mix of commemorative and regular issues as well as some rarities.