What kind of collection? By company? By finish? By material, (metal snare drums, wood snare drums etc.) Recommendations for you would depend a lot on 'what kind' of a collection you're attempting to build. Also, why 1940 as a start date? American drums from the war era are among the rarest of all, so few survived intact. It's almost a specialty collectible in and of itself. Really expensive too if you can find any clean, working examples at all.
Must haves would depend on which company you're concentrating on. If it's just an open, anything goes type of snare collection, you're going to get so many suggestions, you won't know where to begin.
Among my 'must haves' from that era...
George Way - Aristocrat
Ludwig (pre-1961) COB Super
Any pre-serial Ludwig - Jazzfest
Rogers - Dynasonic - 60's
And about 500 other great snares I can think of...
John