Can I ask how you old were, or just when you (seriously) started this collection? I'm a little worried that by the time I get some real disposable income, all the older games I like will be too hard to find or too expensive :/
I'm currently 32. As a kid, my parents bougt my Odyssey and Nintendo games for my younger brother and I (had about 15 for each system), but after that, I was on my own. Rocking my Nintendo Power and EGM subscriptions, I knew the Genesis and Super Nintendo were on the horizon, and my parents let me sell what we had to fund picking those up.
I guess I had the luck of being able to buy most of the rarer games in my collection, like the Sega Saturn titles, when they were still SRP or less at the local Babbages, like Shining Force and Panzer Dragoon Saga, and picking up a lot of games when FuncoLand started liquidating their games as each previous generation got phased out.
It wasn't until I graduated college and got a full time job (about 10 years ago) when I started expanding my collections to include more of the games I could easily find on eBay, and I started with searching for lots, as I could usually get about 50 Dreamcast games for around $100, or about 20 Sega Saturn games or so for around $100. I would budget for about a lot or two a month. When it got to the point where lots were giving me too many duplicates, I sold off all of the duplicates in their own unique lots, and recycled those funds into buying the single titles I needed.
I found it was too expensive for my tastes to try and buy each game individually, so the cost savings by finding lots and then re-selling what I didn't need to help offset the costs when I eventually got to where single title auctions were the only option and helped out immensely.
It took me about 2 years to 'fill out' my Sega CD, Saturn, and Dreamcast and Atari Jaguar games. I've recently started filling out my Super Nintendo and Nintendo 64 collections to include some more games that I always wanted, but couldn't afford to pick up at the time when the systems were current. I started that about 6 months ago, and have about 10 games for each system I'd still like to pick up, which, I'm a Cheap Ass Gamer, so I always go for auctions for a Buy It Now that's actually fair market value.
If I was to guess (for my more recent eBay activity, I could pull actual numbers), I'd say, I spent approximately $1500 on a complete Sega Dreamcast collection, probably about the same on Sega CD, and probably closer to $2000 on Sega Saturn. That sounds like a lot (and I don't deny that it is), but over the course of 10 years filling those out, that's about $500 a year, under $50 a month, so not anything that anyone else couldn't budget for. You just have to have a lot of patience. That's a lot more affordable that say, if I actually tried to buy all of the Dreamcast games as they were released at $50 each (which I couldn't have, else I would had to have dropped out of college and lost my lease on my apartment

Speaking of Cheap Ass Gamer, I'm an avid reader over there, not so much an active poster, but it's how I've built my current Xbox 360 and Wii collections. I don't mind being a few months behind the curve, and I clean house on the Gamefly sales (thinking back on the past month or so, I picked up games like Darksiders, Nier, Assassins Creed 2, Metroid: Other M, Aliens Vs Predator, Singularity, Transformers: War for Cybertron, all for about $10 a piece) and when NewEgg basically starts throwing games away for $10 a piece (like Splinter Cell: Conviction and Lost Planet 2 as of late).
Thus far, the most I've ever spent on a "classic" game is Keio's Flying Squadron for Sega CD, which I got about a year ago for $100. The most I've ever spent on a current gen game is $150 on the Amazon.com Exclusive edition of Fallout 3 with the lunch box and Pipboy (I was a huge Fallout fan on the PC, so, they totally played on my emotions with that one

Sorry, too many good sony exclusives for me to avoid their systems entirely.
I don't deny there are some great games on Sony systems, though, I think I can afford to miss a few, as I have to prioritize my game time

But, fortunately, through either a sequel or a remake, I've had a chance to play a few (Symphony of the Night on Xbox Live, Metal Gear Solid on Gamecube, etc).
Do you keep your game catalogued in any way? This is the solution that I came up with (link) - it's saved me from buying duplicates quite a few times!
I use Google Docs. I compiled a "complete" list of games for each of the systems I have, and I keep a separate spreadsheet for each. It probably won't look correct here, but they all look like the following:
Owned Prior Multi Total Title Developer Publisher Loose Scratch
1 X Addams Family, The Ocean Software Ocean Software
2 X Alien³ Probe Software Acclaim Entertainment
3 X Batman Returns Konami Konami
4 X X Donkey Kong Country Rare Nintendo
Even though I don't have, and don't plan on ever having a complete collection for say, Super Nintendo, I still have all of the games in my spreadsheet, just to have them there.
I use the "Prior" column for games I had in my "best of collection" I bought as I was growing up, before I graduated college and started expanding my collections into either complete (for the Sega systems) or games I always wanted to have but couldn't afford at the time (for the Nintendo systems, and other systems with much larger libraries). I used the Multi column to flag a title I had multiple copies of, and the Total column to track how many copies. Those columns helped when it came time for a "duplicate purge" from buying up lots. I also used my "loose" and "scratch" columns, because sometimes, I'd end up with a mint disc loose, but find a mint case with a horrid disc, so I could make a mint complete copy cheaper than actually buying a mint complete copy.