Collect whatever YOU find interesting and like. Remember, you can change any time you like into some other field.
You will never get “all” the possible examples in any field, so don’t plan on being “finished” in a year or two.
Most cartridges are modestly priced, and bring the same or less when sold, so do it for fun, not with some fantasy about making money or doing it as an investment.
People collect by caliber, maker, nationality, age, type of bullet, purpose, match ammo, wildcats, or just about any other criteria. That can be anything from dozens of .17 caliber rimfires up to dozens of artillery shells (most 16" or less…).
Two of our “younger” collectors here have developed quite a bit of expertise in fields such as “pistol caliber penetrators” and “pinfires.” Those are great examples of finding a niche that you like and pursuing it, even if there are not hordes of other people out there doing the identical thing.
If you join the IAA (as you definitely should) getting the digital copy of the old Journals will provide a lot of background material. Read through a dozen Journals and see which articles you enjoy reading and which put you to sleep, and that may help focus your collecting interest.