What did the rest of the set look like? Were these the best two? I like the key date factor for the 1936 and the close to cameo look of the 1939 but both also have some detractions (as mentioned by others). Any consideration for selling both and picking up something else for your type set? Maybe a common date business strike in MS 65 or 66 would be better? You can get sharp luster and strike for a fraction of the price of either of these two proof coins.
I already have a 1942 MS-66 in the type set but I wanted to replace it with something with a better strike, of higher value monetarily and with a bit more "cachet". Photo below.
The 1939. From a type set pecpective, I've personally favored first year of issue pieces. That aside, should you decide in the future to reaquire the '39, the loss in difference from time of sale to then would be substantially less.
I agree with you keeping the 1936 for a few reasons: - Super attractive coin - 1939 is missing detail, which is a no-no for a type set - Much more special date than 1939 - Your type set will probably include a proof buffalo nickel, which means it could contain a 1936 proof set -- also cool