My collection is pretty small by most collectors' standards, but I have some pretty interesting items. I collect for all four of the primary consoles, but not for the Game Gear or Gen/MD add-ons. There are a few 32X games that I'd like, but since the set-up is a hassle I might not venture in that direction. I do like to have the boxes and manuals and just read through them and check out the artwork occasionally.
The largest part of my collection is the Master System. So far I've got just over 50 games, mostly U.S. releases but I've just recently got my first European releases. The European library is roughly twice as big as the U.S. library, and much better supported by third party developers, so eventually I'm looking forward to collecting quite a few of those titles. My approach to collecting the games is to get my favorites, and get ones that I've always been interested in but wasn't able to get back when I was a kid. I've got a couple of the rarer titles that are a bit pricy, like Power Strike and Golden Axe Warrior, but that's because they're excellent games that really show what the SMS is capable of, not because I covet rarity itself. The SMS library is organized in really cool ways that appeal to collecting -- there are several card titles, and several 3D titles, as well as box design variations through the years. I think the system was designed from the outset with longevity and collecting in mind... thank you to whoever convinced the money men to sign off on the nice plastic cases. Hardware-wise, I've got most of the peripherals boxed and in really nice condition. I don't specifically seek out mint condition stuff but I've lucked out in a lot of instances. The last of the hardware I want to get is the Japanese Master System, which has an incredible FM synthesis chip (certain games have an enhanced soundtrack) and has a paddle controller for a few games.
The next largest section of my collection is the Sega Saturn. This is the only Sega console I never had when it was being made, so it's a lot of fun getting caught up on its amazing library. I'm especially interested in the Japanese releases and have been going for the arcade-perfect ports of Sega's superscaler classics -- so far I've got Out Run, Space Harrier, and Power Drift. I've got some other great games, both U.S. and Japanese releases, like VF2, Daytona USA, Fighters Megamix, In the Hunt, Darius Gaiden, and the Panzer Dragoon series. I've also got most of the first party peripherals boxed. (The reason I like boxed peripherals, aside from looking cool, is that they can be more organized than a chaotic drawer of controllers and cords.). But, since the Saturn library, especially the coveted shmups, are getting insanely expensive, I opted for a modded Saturn for getting some games in the future. Otherwise I'd never be able to afford a lot of those games.
With the Genesis, I'm mostly interested in the early U.S. releases with the original black box design. But there are so many excellent games from its lifespan I'm sure I'll eventually have a pretty even distribution of titles through the years. I was happy to get Forgotten Worlds recently. And this time last year I beat Revenge of Shinobi for the first time (always got close as a kid). I was able to get the first edition console boxed (with the Altered Beast screenshot). And one interesting peripheral I have is the Japanese-only release XE-1 ST2 joystick, a really cool and fairly small arcade stick. My brother also recently got me one of the new AtGames mini-consoles with built-in games and a cartridge port, so that's pretty cool too.
My Dreamcast collection is the smallest right now, but with some gems. I opted for a black Sega Sports version to have all my Sega consoles matching. And I've got the official boxed Samba De Amigo maracas. (I actually scored two boxed sets of maracas for an incredible price and gave one to a friend to get him back into the Dreamcast.)
Then, of course, I've got a bunch of post-console era releases. The Yakuza games and JSRF are my favorites, but there are a bunch of classics.
Other unique items... I modified a non-working SMS into a display case for my set of gashapon Sega History consoles.
I got an awesome Dreamcast vinyl record that I won through Barry's site! And my mom gave me the Sega Consumer History book for xmas. Whatta mom! Actually, aside from that book being rather pricy ($60), I think collecting old cartridges has made xmas shopping a lot cheaper for my family, now that they know I'll be thrilled to get three or four $5 games. And I've got a cool Yakuza Dead Souls package that George is holding onto for me right now.
I've got about half of this stuff on display on some nice shelves, and the other half occupies a closet with my Trinitron set-up. I found a great 27" Trinitron for $10, and I can have four or five consoles hooked up to it at once. Then when I'm done playing, I can close the door and don't have to see a gigantic tube TV hanging around. When we buy our own house, I'm going to build a nice wooden cabinet and/or shelves for everything and hopefully have a more comfortable area for gaming. My long-term approach to collecting is just to take it slow (I never intend to "complete" the collection), get fun games that I'll actually play, and only go for really good deals.