This article is from the Paper Money Collecting FAQ, by Bruce Giese firstname.lastname@example.org with numerous contributions by others.
This is a common way to collect and your best bet is to
get a copy of the Standard Catalog of World Paper Money,
Volume 2 (General Issues). This way you have a road map
of current and past paper money and how much it will cost.
Also it allows you to see which notes you really want to
have which you wouldn't otherwise know about (e.g. crossed
out portrait of the Shah of Iran, Faulkland Islands notes,
portrait of Albert Einstein)
A good start is to buy a pile of general world notes from
a dealer (e.g. 50 different notes for 20 dollars). You
can then build on this over time with selected notes.
It's probably possible to put together a set of notes
from all countries for a few hundred dollars. You can
probably cover half of all countries for under a hundred