To our newbies, including HeavyWeight, I agree with Alan that a visit to your friendly paperweight collecting club allows you to immediately see a vast number of dealers paperweights across a wide price range, and that is more reliable that trying to bargain hunt at fairs, car boots, or on ebay. In the UK, if you live roughly North of a line through Birmingham, the Northern Paperweight Society will probably be nearest to you, and to the South its likely to be the Paperweight Collectors Circle. Details of both and their upcoming meetings will be online.
As for what to collect, you will see that many collectors do have preferences or develop them over time. But there are a few poor souls like myself who like all variations! Maybe do not specialise too early, and yes, you need to see value in a paperweight, but that should not always be of the financial kind.
Collect what you like!
Good luck
Steve