If you enjoy the beautiful colors and handmade, artisinal quality of American southwestern jewelry, by all means, collect pieces that appeal to you and enjoy them. I myself mostly prefer older, "vintage" pieces, with that perfect combination of detailed silverwork artistry, gorgeous stones, and aged patina. I do have a few very clean-lined modern items that I like as well. While many of my pieces have increased in value since I first purchased them, I do not advocate beginning a collection just for the intention of creating an investment that will increase at a certain rate or percentage over time. The market is too uncertain for that and as with anything, you have to really study to know what you are doing.
Frequently, however, folk will come to me and show me an item purchased from an estate/tag/yard sale, and ask me what it is worth. Something you have bought is always worth what you paid for it - that was the market price at that time. Generally, you get what you pay for : people are savvy enough these days to look big ticket, important items up before they price them. If you are truly interested in collecting southwestern jewelry for the pleasure of wearing it, I would spend time on the internet, browsing what is available for sale, in order to get an overall idea of what styles are available, and at what range of prices. Try a google search for "native American jewelry" or similar. If you wish to go shopping in New Mexico in person, just remember: Sante Fe prices are twice that of Albuquerque, and Albuquerque prices are twice that of Gallup. I am not experienced with shopping in Arizona, Colorado, or Utah. Generally, the more chic and touristy the town, the higher the prices you will pay. Pawn shops will offer better "deals" than boutiques. Junky spots along the interstate sell items made in China. Don't be afraid to haggle or wave a wad of cash and say, "this is all I have." For online shoppers, if you can find an online business with a brick-and-morter store located in Arizona or New Mexico - you are headed in the right direction. I'd avoid items with a shipping location from China or India or anywhere else. You can find quite a lot of nice pieces on ebay - just use their tools to figure out what you like, and what are the recent prices for that item. (Use the sidebar filters: Ethnic, tribal jewelry. Native American. Old Pawn. Bell trading post. Harvey era. Etc.) The amount of information you need to make an informed purchase is worth a few hours reading, so you know what you are doing. Here are some highly esteemed sources to do just that:
Great general source of information, many topics, very thorough and accurate.
Information about turquoise stones, and what makes one stone valuable and another. less so