It's funny - I know I can't be the only one, but I still index my collection the pen-and-paper way. I have a three-subject notebook that's broken down into different sections - video games, ebay sales, and general bills. It works for me, but my collection is pretty tiny at 35 games.
I list them by system first, then I list the games in ABC order. I list the systems in order of release date, so I have my NES and Genesis games first, and my Gamecube collection last. I also have them arranged on the shelf this way, as it makes it easier for me to find them.
Just for fun, I broke down my collection into different categories, too. I have games listed by genre (I currently have no puzzle games, oddly enough...) as well as by developer and publisher. It's amazing how many Capcom games are crammed into my collection, as well as the number of fighting games that I own! I also number games by series - I tend to have only one game in each series, usually my favorite game in the series. For Mega Man, Metroid, and Phantasy Star, I have more than one game in my collection, which means that I like them just a little bit more than the other game series I have. I like organizing them that way, because I can tell at a glance that I like the Phantasy Star series a little bit more than Final Fantasy or Zelda. Funny thing is, I totally do, too :-D
I don't include downloaded games in my grand total, but if I did, I'd probably be pushing 50 games, total. Maybe that's a project for another day...