I don't collect games like some people do. I focus my collection on only a couple franchises (Bioshock being my big one) and Xbox hardware. I've bounced around between different types of video game collecting over the years, but I am pretty happy to have a big focus on Bioshock and Xbox hardware. They just feel right.
My suggestion is to figure out what interests you the most with video games and start collecting there (whether it be a specific franchise, hardware, all games on a specific platform, etc.).