depends on the kind of collector you are.
With newer games just go buy what you like, or watch for sales. If you just want to relive the past and you know that you only want a small hand full of games then maybe online is a good way to go.
With retro games, while I do buy off Ebay I still try and look for deals. I always go for the "Make Offer" most of the time the seller wont except an offer unless it's only a few dollars off. but you do get those who will counter offer and there are times I get the item at half off their asking price.
Also search for "lots" NES lots, SNES lots etc.. Because your just starting out you can get say 30 games for $40-$50, You won't get anything rare (usually) but it will be cheaper then buying them separately and just starting out you won't get many duplicates.
While online is the easiest way to collect (and most expensive) I personally like "the hunt" for deals. Just go out on a weekend and hit every thrift store, garage sale, flea market, used game store and anywhere else that sells used games and see what you find. Part of the fun of retro collecting is going out and never know what you'll find.
Also know what your buying, if you see a game priced at say $20, look it up and see what it sells for on Ebay sometimes stores over price or sell right at Ebay prices. For me if I see a game and look it up and its at retail or higher I pass. but if its lower then you might wanna buy that game.
But most of all have fun, its fun just to look around and see what you can find rather then just click on a buy it now ebay. Then you come home and try out your booty and see what you love (or hate) lol
happy game hunting.