Unless you live somewhere that gives you access to lots of thrift stores, garage sales and flea markets, concentrate on one system or one console maker. Collect Nintendo games and consoles, or Sega, or PSX. Trying to collect a little bit of everything can be maddening. I do it, but I still focus mostly on Nintendo, SNES, N64 and GC, as well as Game Boy.
Unless you have a lot of disposable income and/or patience, avoid collecting CIB or boxed games. Some will run you as much as 10x more than the cart alone (Urban Champion, for example). Don't hesitate to grab one if you see it in the wild at a good price though.