Honestly, for the older stuff (NES, SNES, GB, GBC, GBA), I'd suggest pirating and playing a bunch of ROMs, then hunting down the titles you enjoyed. Some of those games haven't aged well, and without the nostalgia factor in there, you may find yourself disappointed or bored by some of them. Advocating piracy may sound a bit counter-intuitive, but you'll find collecting much more enjoyable when you collect stuff because you like it, not because it's there.