Another vote for cast iron. I have a couple pieces of Le Creuset and plan to purchase a few more over the next few years. They definitely cost a pretty penny, although you can score some good deals by going to outlets and/or purchasing secondhand. They are quality pieces and they make me happy :P don't judge.
I wouldn't go with Lodge for enameled cast iron, but for "raw" stuff, they're great and fairly inexpensive. They can also be found at TJ Maxx, HomeGoods, etc. for rather cheap (I saw a 12-inch skillet the other day for $13). Cast iron aficionados will tell you the older stuff was better, and you can indeed find a lot of 50-year-old cast iron for sale at flea markets and the like.
The downside of raw cast iron is, of course, that you can't clean it with soap, and they do take a lot of manual effort to clean. So we have some cast iron, and some stainless steel, the latter of which is Calphalon, purchased for $20 or so at TJ Maxx. It has gotten a bit discolored, but cooks great.
I dislike nonstick and would be fine to never own any...it's not good for you, and I don't find them easier to clean.
One thing I'd say is this: rather than buy a set, think about buying individual pieces. If you really want/need everything in the set it will be more, but I wouldn't buy a set because I don't think I would use everything in it. Maybe identify two or three pieces you really want and will use a lot, and see if that gets you where you need to go.