Interesting to consider art as investment. I spend a bit of time looking at this very subject. Like anything, it takes a lot of time and effort in the analysis period, and I'm no expert yet. However, there are markets that most would consider affordable, and one of these I'd like to point out would be the Warhol screenprint market.
Thousands to choose from, and plenty a gallery out there to fleece you, but look at something like a Queen Elizabeth screenprint (from the "Reigning Queens" original set). Available now for between $15-50k, depending where you acquire one. With tremendous recent growth in this market, and the never-ending popularing of QE2, her 80th birthday etc. etc., I personally think these have a lot further to go. I don't own one yet, but have spent months researching this exact piece.
Any other Warhol collectors out there - would appreciate a PM.
Also, looking at Rembrandt etchings - similar price level.