To date, my favorites in the line have been Obi-Wan Kenobi (TPM) and Mace Windu - the sculpting on these two are just astounding. Granted, I don't have Luke Skywalker (ANH) yet, so I can't compare the entire line.
And the sculpting on the Scout Trooper is also phenomenal, but that is a fairly pricey set. (By the way, has anyone had any success getting the Scout Trooper to actually sit on the speeder? I was never able to get him to grip the handlebars and place his feet on the accelerators at the same time.)
Really, I have yet to be disappointed by any of the offerings (except for Darth Vader). If it were me, I'd just start working through the collection, acquiring the pieces I was most interested in first, and then filling in with the other stuff later.