Using the wishlist here on VGCollect is how I got started again; I started adding things and assigned them a priority. I think the next biggest step is just determining what kind of collecting you would like to do; e.g. complete console collection, complete franchise collection, genre collecting. I have a smallish collection, but it's because I know what I'll play and only go after the core games and franchises I want. That way I can afford more expensive/more rare games, as I'm not spending cash on bloat that I don't want, need, or will never actually play. There are definitely consoles out there that are not yet in fashion as well. N64 games and GB games are still cheap. Most PSX games are still cheap, and PS2 and Xbox are almost being given away. Gamegear is cheap after the initial investment of getting a working gamegear. I feel like NES is coming back down, and Genesis/Mega Drive is also a great place to start on the cheap (a lot of the essential games are sub $20). SNES is getting ridiculous...
My last thought, the intro guides on racketboy (
http://www.racketboy.com/guide/retro-gaming-101) are a great place to start. They are pretty spot on, but the prices and things have changed a bit, as they are starting to get dated, and I'm not sure the site is being updated anymore.
Good luck, and let us know where you are headed!