Retro gaming is considered by many to be a fad, but there's a dedicated group out there making sure these games never become forgotten. They're the collectors, the die-hards, and they know what they're doing. It's overwhelming to someone new to the hobby, yet it's not particularly different from collecting anything else. It does present its own challenges, and that's where you need to start.
Focus
Do not go into this hobby with an "I'll buy it all" attitude. When you first start out, take it small. Think of what you want to play the most, not collect. That's where your base should be, and it also gives you a purpose for doing this. What systems do you want to collect? Do you want to relive those days of your youth? Do you want to experience games you've never tried?
Starting small makes things seem less overwhelming. If you blindly go in and buy everything you see, you'll realize just how much trouble this can be. It's better to take it slow, breath, think it through, do a little research, and then start the hunt for games.
Know your games
Just because a game is popular doesn't make it rare. It doesn't even make it desirable. There's a major difference. It's an odd hobby in that, unlike something like sports cards, the more famous items are the cheapest (generally speaking). For instance, on the original Nintendo Entertainment System, the pack-in cart was Super Mario Bros./Duck Hunt, a combination cart. It's worthless, the most common and undesired game for the entire console in collection circles. If you come across a lot of game for the system, this WILL be included, likely multiple times.
On the other side, we have the Flintstones: Surprise at Dinosaur Peak. At a glance, it doesn't seem special. On online auction sites, it regularly reaches $100 or more. This research will be invaluable to your new hobby. Sellers will always try to pawn their goods off as valuable, while the majority of the time they're not trying to rip you off, they just don't know any better.
If you see a high price, you can try to barter with the seller, and at flea markets, it's encouraged. Sometimes they'll cut you a break, other times they'll just ignore you. If that's the case, don't argue even if you know you're right. Just move to the next table.
You can also go in with a price guide. There is a new magazine on the market called Video Game Collector, and it's likely that this will become the standard. Price guides also come in book form, including the semi-annual Digital Press Collector's Guide. These not only let you track your collection, but price it as well.