numismaster.com explains why it always makes sense to collect the key coins in a series first, even though many collectors don’t.  The article explains the key coins for several series, such as Walking Liberty half  dollars

From the article:

“Coin collectors are often advised to buy the key coins in a series first, as these are the coins most likely to appreciate. Yet, despite the wisdom of this advice, few collectors actually follow it.   A key coin is just what the name implies: It’s the key that unlocks the door leading to set completion. Without this coin or coins, you’ll never fill all the holes in the album.

Of course, that’s also true of the most common coin in the set, but the difference is that the common piece is nearly always attainable, in any condition you desire. The key coin, on the other hand, is often simply not available when you want it, or it may not be readily available in the grade you want.”

http://www.numismaster.com/ta/numis/Article.jsp?ad=article&ArticleId=6327