Aside from 'buy the cheap stuff' and 'buy what you think sounds interesting, not what's popular', decide two things:
1) Emulation & aftermarket gear vs. authentic original. Authentic is more brag-worthy, but notably more expensive & labor intensive to keep running. If you just want to play, getting a good emulation setup now will save you a lot of money. It doesn't have to be all PC, everdrives are a great halfway point between authentic & full emulation.
2) Game only vs. CIB. Once again, it's a lot more expensive & time consuming to get boxes and manuals as opposed to just the game itself. It's also pretty hard to track down loose boxes & manuals too, so decide now before you have to spend a decade pestering random Ebay sellers to just sell you the case for Lunar: Silver Star (no really, it's not great.)
Last bit of advice: Tell people you want their old gaming crap. Get the word out there that you collect, that if they've got something around you're interested. People will give you stuff becuase they want it gone and better it go to you & get used than thrown out. I have so many games that were hand-me-downs it's crazy. I've also picked stuff up for friends becuase I knew what they liked & found a deal. It's fun to drop in on someone and go "Hi my Sega-loving pal! I found a Dreamcast with 4 controllers & a VMU & Soul Calibur for 10 bucks. You don't have a Dreamcast yet, right? Here ya go!" Make sure people know what you're into!
