What I would do is find the artists that you really like and find out who influenced them. That's how I started building my collection. Circuit City's website has a nice feature where you can look up an artist and then find related artists. Here's a sample link (I hope it works)
Link
I would also encourage you to seek out live music whenever you can. In particular I would focus on small clubs and festivals as that is where you get the best bang for you buck. The best festival I've been to is the King Biscuit Blues Festival. It's the first Thursday-Saturday of October and the event is free. Essentially you can listen to 36 hours of blues very cheap, particularly if you like to camp.
One final thought...I would not start with the old,old stuff. To the unaccustomed ear it may be difficult to fully appreciate. I generally recommend that you start with someone contemporary and work your way back in time. The music may take on additinal meaning to you once you comprehend the influence that the old blues guys had on today's sound.