On one hand, I would sort of like to sort my games by alphabet/series, without regards to system... But I don't. Mostly because it would take more space, as all my shelves would have to be the height of a DVD or UGC, instead of the height of a CD or DS case.
For a while, I had my Blu-rays sorted separately from my DVDs, for the same reason, but I've finally done away with that.
Similar to what others have said, though, I do tend to break with alphabetization here and there to keep items of a series together and in order. For example, I put "We <3 Katamari" directly after "Katamari Damacy", "Zoda's Revenge: Star Tropics II" and "Zelda II: The Adventure of Link" directly after their predecessors, etc. All my Bond movies are together in the B's (for Bond), Godzilla movies in the G's, etc.
My DVD/Blu-rays do have one level of sorting before alphabetization, though, and that's "Not anime/anime". My live action and non-Japanese animation DVD/BRs take up slightly more than one shelf, and then my anime stuff takes up about three and a half (not counting Tenchi Muyo, which I keep on a completely separate set of shelves).
And there's some weird alphabetization decisions to be made in all of that as well. Do you put Neon Genesis Evangelion under N or under E (keeping in mind that the newer movies have dropped the Neon Genesis part of the title)? Do you put "The King of Braves: GAOGAIGAR" under K or G? Occasionally I find myself moving whole series around to appease my changing whims in how to interpret the title.
