Hickory is a great fun, but somewhat difficult and daunting to get involved and ready to play. If you don't have a mentor to guide you, it is a very confusing world.
I've been playing hickory for about a year. I ran into a guy practicing with hickory one day, and struck up a conversation. He invited me to play 9 with him a couple of weeks later, and I had a blast. A few months later, my girlfriend started to play golf, and we frequented an executive 9 hole course from the 1910s that just wasn't much fun with my modern equipment. I contacted the hickory guy to assist with a set. He brought 30+ clubs to the range for me to try, and I got the bones of my set. He was also extremely generous with his time in helping me find other clubs online. I would send him links from ebay, and he would tell me if the clubs were a good buy and what price was fair. Without this help, I would have had no idea what to look for in clubs. Over the past year, he has taught me to whip, re-grip, and take apart and assemble loose heads. He also invited me to join the local hickory group for play days.
Everyone I have met playing hickory has been extremely nice and welcoming. They love to share their knowledge and passion for the history of the game, and are more than willing to let you use/rent clubs to get started. The problem for potential hickory players is finding the group. I had no idea anything like it existed near where I lived.
I've done my set on somewhat of a budget, but it does start to add up, especially for a set that is your second part time set.
Additionally, hickory is more difficult. My average is 3-4 shots higher with hickory, but the outlier high rounds are MUCH higher when they happen. I enjoy hickory because I just play golf. I don't worry as much about yardage or swing, and just hit it from A to B. This can be difficult for lots players. Many people also don't like the idea of moving up so many sets of tees.