After surrendering my game room to my youngest daughter who was growing too big to share a room with her sister (I kid, I was more than happy to do it for her) and systematically dismantling and selling the bulk of my collection (not so happy about that in hindsight
), my PS2, PS1 and PSP games are stored in boxes in my bedroom closet. I have a really nice 5-shelf wooden cabinet with glass window doors that the bulk of my PS3, PS4 and Vita games are in. My PS3 games have spilled out into a 5-shelf DVD rack that holds 75 DVD-size cases comfortably. I have a curio cabinet that has some of my gaming stuff in it, namely my OG 60gig PS3, sackboy plushes, etc. I'm going to put all of my import Final Fantasy titles in there together to display on the top shelf once the last of them arrive. Most of my other stuff like Wii and DS games I have stored in boxes in the closet also.
I keep a few games for various systems on my nightstand shelf if I am currently playing them. Right now, New Super Mario Bros. 2 for the 3DS, Castlevania the Dracula X Chronicles for the PSP and a few others are hanging out there.
In an ideal world, all games would be sorted by system and stored alphabetically on shelves. Unfortunately, I'm not living in an ideal world at the moment.