Building a deck, I wouldn't be able to tell you, but as far as collecting, the newest set is Plasma Freeze. :) Usually, the best way to start collecting a set is to get a booster box, however they're a bit expensive. Boxes for newer sets tend to run $90-$100 on trollandtoad, a trading card site. Check that out if you wanna know more about some prices.
There are also some smaller sets you can collect, like Dragon Vault. It's the only mini-set I can think of that's easily available, so yeah. :) Try checking out your local Target or Walmart to see what they have!
In terms of starting a deck, just remember that tournament legal decks have to have cards from Black and White sets only. So stuff from Black and White Base Set, Dark Explorers, Plasma Storm, all that is game. You might consider checking out the TCG forum here for more on deck building and such. n__n