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The only coin featuring the Lincoln Memorial is the cent from 1959 to today, so I don't know exactly what your set consists of. A complete set from 1959 - 2008 would only bring $5 or $6 if all the coins were picked from circulation.
For the Memorial Building in Kentucky, see Abraham Lincoln Birthplace National Historical Park. The Lincoln Memorial is an American national monument built to honor the 16th President of the United States, Abraham Lincoln.