There are only ever three considerations:
Time. Money. Space.
Actually, the last of these is possibly the most important. There is no point collecting thousands if you will only ever have a venue big enough to play in once every couple of years. If your table is 6'x8' or preferably larger I'd say 15mm - 28mm. You can comfortably get 1500 28mm on a 12'x6'. Smaller tables and you can't look at 28mm, though a reasonably big game in 15mm can be had on an 8'x4'.
Time and money go hand in hand, because if you are rolling in money you simply buy someone else's time to do everything for you. If you're not, then time will be the killer. I am quite a prolific painter (pro) but even if I paint several hours a week for myself, I'll be lucky to paint more than 400 28mm Napoleonic figures a year (big lulls due to boredom or having something better to do than take a busman's holiday) - each figure takes me roughly half an hour, and the most I've ever painted in a year for myself was around 800 figures (SYW)* when I had (over) promised to do a convention game - this game (where more than half had already been done over a couple of years and I figured it would be easy) and that year was a killer.

*I did paint 2,100 Punics in two years but, not being proper figures (LOL), Ancients don't count.
I admire your ambition. It probably surpasses my own. If you are doing it all yourself you will need an iron will to get it done. My method isn't to everyone's taste. I generally buy a lot of figures to fully tie me financially to a project, so that I can't afford not to carry things through.
A big box of stuff looks like this, this one weighed in at over 60lbs and contained £2000 worth of Front Rank figures: It was quite a bit of my three army Peninsular project, plus a few hundred figures to finish my SYW Austrians (which I did first, of course).

Laying everything out it looked pretty daunting - this was just the British in the box (about 70% of the of the eventual number of British). With my method, it's always like this: You look at them and wonder just how much you've bitten off.

I bought that box in June 2015. I started painting the Napoleonic figures, in earnest, in May 2016. Today, after a further investment of over £1600, 2,700 men (not including horses, etc.) are painted and I have just three Spanish units left to paint - the end is nigh! (Or, I can see the pub from 'ere!)
It can be done, believe me. Just keep going. Good luck with whatever you decide! One piece of advice - pick Peninsular or 1805, not both: the dilution of effort might sound the death knell to both. Do both, but do one after the other.
My British

My French

Spanish roll call imminent!
BTW. If you are rolling in money, I might consider an offer of £50,000. Not promising anything but, I'd think about it. A close up of some Brits.
