An $\mathbb{F}_q$-linear set of rank $k$ on a projective line $\mathrm{PG}(1,q^h)$, containing at least one point of weight one, has size at least $q^{k-1}+1$ (see [J. De Beule and G. Van De Voorde, The minimum size of a linear set, J. Comb. Theory, Ser: A 164 (2019), 109-124.]). The classical example of such a set is given by a club. In this paper, we construct a broad family of linear sets meeting this lower bound, where we are able to prescribe the weight of the heaviest point to any value between $k/2$ and $k-1$. Our construction extends the known examples of linear sets of size $q^{k-1}+1$ in $\mathrm{PG}(1,q^h)$ constructed for $k=h=4$ [G. Bonoli and O. Polverino, $\mathbb{F}_q$-Linear blocking sets in $\mathrm{PG}(2,q^4)$, Innov. Incidence Geom. 2 (2005), 35--56.] and $k=h$ in [G. Lunardon and O. Polverino. Blocking sets of size $q^t+q^{t-1}+1$. J. Comb. Theory, Ser: A 90 (2000), 148-158.]. We determine the weight distribution of the constructed linear sets and describe them as the projection of a subgeometry. For small $k$, we investigate whether all linear sets of size $q^{k-1}+1$ arise from our construction. Finally, we modify our construction to define linear sets of size $q^{k-1}+q^{k-2}+\ldots+q^{k-l}+1$ in $\mathrm{PG}(l,q)$. This leads to new infinite families of small minimal blocking sets which are not of Rédei type.