I started collecting hockey in 05-06 and haven't turned back since. It has been well worth it!! Here are some boxes I would suggest you trying to start off with.
07-08 Upper Deck Series 1 hobby--you normally get 6 Young Gun RC's and a g/u or autograph. I did very well with these and there are some bonuses to be had too. With Kane, Mueller, and Gagner is series 1, you have a good shot at a decent RC.
07-08 Black Diamond--this is a fun little rip. You normally get a quad diamond RC and 2 quad diamond vet cards. you normally get several g/u and a shot at Run for the Cup cards as well as Gemography autos. All the big names are in here as well.
07-08 SP Authentic--you normally get three autographs per box with the outside chance you get a loaded box of 4-6 autos. The autographs are on card and look pretty great! While there is a very nice heaping helping of base cards, you can pull a Future Watch patch/auto card of this years rookies or you can get a Rookie Review Patch/auto card of some of the biggest stars in the NHL!! This is a fun product to break
07-08 UD Ice--While the rookie cards you will pull will be mediocre and high numbered, you do have a shot at the big named RC's #'d to 99. You also can pull the PETG Patch auto RC's too. You normally get a handful of #'d RC's and also about 2-3 g/u per box. It normally breaks down to getting one Glacial Graphs auto per box as well. With Gretzky, Crosby and a few other big namers garnering huge money on the bay, you can't go wrong with this.
07-08 Hot Prospects--again, a lot of base, but you get one patch/auto per box on average. You also have a shot at the parallel patch/auto versions of the rookies and you normally get a couple other g/u per box.
As far as higher end stuff, Ultimate Collection is a very fun product as well as SP Game used. I would pick Ultimate over Game Used with the latter being a little sketchy on the hits. And if you have the money, just bite the bullet and get a tin of the cup. It will be the best 30 seconds you have spent in a while as far as ripping goes!!
I've collected hockey cards all my life. A few years ago I slowed down collecting hockey and did more baseball, never turned back. Kinda sorry I switched, but not anymore because the Penguins are so expensive nowadays... I used to love getting Mario's for cheap...
I can definitely recommend The Cup over Ultimate. From what I've seen here, there and in person, it is a much better product.
The RCs from this year may take a while to blossom, but this will be the set to have when they do.
The one thing to remember in doing hockey: All the licensed stuff comes thru Upper Deck, at least for two more years.
Although overall the value is great and many of the products are loaded (sick patches, that type of thing), it still is a limited market you're selling to. Philly, Detroit, Boston do very well, but the South is terrible, even their best players. One good thing is that the Canadian dollar is very strong right now, which seems to have sent prices higher on most singles.
UD seems to be over-doing the "Event-Used" pieces. UD's main hockey competition is from In The Game, so maybe ITG's better memoriabilia and customer service and satisfaction will make UD get better in those areas.
Anyway, good luck and let us know how you do if you do make the ice plunge!