Collecting Lugers is a bit different from other firearms. The best way to start is by studying them. One of the best available references was recently published, and is available on a DVD as a PDF file. Get in touch with Simpson Ltd in Galesburg, Il and get a copy of the Sturgess and Goertz book on the Borschardt and Luger Automatic Pistol.
If you're mainly going to be interested in Weimar and WW-II era Lugers get a copy of "The Mauser Parabellum" by Hallock and Van der Kant. These Lugers were made from 1934 to 1942. They probably have the best metallurgy and were still being made with rather high precision by Mauser in Oberndorf through the end when they shifted over to the P.38 in 1942.
Reading the books first is what I call "Luger University". Even thought the books are expensive, they will save you time and money in the end. Plus they open up details of the fascinating history of Luger pistols.
Lugers are extensively marked; made up of matched and numbered parts; hand fitted and quite addictive. A collector wants one that is all matching, as close to original factory state as possible. That means no refinishing and minimal wear. Generally no import marking (some exceptions exist, like very rare ones, commercials shipped originally to the USA or Swiss ones).
Most collectors get mismatched or refinished Lugers to shoot. This is because they really can break numbered parts, and you'll lose quite a bit of value if you break an all matching original one. Of course, that just eventually improves the value of the collectible ones that are left.
The rarer they get, the higher the potential for fakery. Stick to military Lugers that are somewhat common at first. Start by dealing with an established collector or dealer that will allow inspection and return if not satisfied. Remember that dealers charge higher prices because they have a business and overhead to support. Expect 30%-35% higher prices when dealing with a dealer. Read here extensively, because some dealers are not to be trusted (even though they have a very nice online presentation and good photos, some are known to deal quite a bit in fakes). The gun auctions and Ebay (for parts) are literally a jungle for the uninitiated. Fakes and overpriced items abound - just like at gun shows.
Welcome to the addiction!
Marc
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 Igitur si vis pacem, para bellum -
- Therefore if you want peace, prepare for war.
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