You definitely need goals. Similar to Vic's strategy, I followed something similar in another collecting venture. A few years ago, I decided I wanted to collect vintage wargames. I didn't want to beat my brains out just buying things at random though, so I set an attainable goal. I decided I was going to focus on English-language, commercially available, mass market boardgames, that focused on tactical level (units were platoon or smaller), set in the 20th Century, that had been published in the 20th Century.
This gave me a list of about 150 different games. Many were long out of print.
I then decided that some I could afford to "shop" for and get good bargains on some. Others were quite rare. I found this out by observing the marketplace - online auctions, and some online vendors who specialized by just selling at fixed prices (some were brick and mortar merchants with an online presence).
I decided further I didn't care if they were "mint" or "unpunched", I just wanted an example of each. I wasn't going to collect separate editions of individual games, either. Just a single representative sample of each title.
When I went to go for the really rare ones, I decided price was no object. I would enter a top bid into ebay of $1,000 to eliminate the hassle of bid sniping and it was actually empowering to be able to just do that. It paid off; very few people bid on the rare items I wanted - the most I ever paid was I think $300 so while risky, I got what I wanted and was willing to pay for it.
My collection was completed in a couple of years, but I knew from the outset roughly what it would cost, given current availability, and was willing to pay that cost.
I kept a spreadsheet and tracked which titles I had, which ones I needed. There is a website called boardgamegeek which has a catalogue of all the boardgames ever published which was a very real aid in researching my initial list of what I needed to form my collection in the first place. I also used a couple of old magazine articles that had been written as surveys of tactical wargaming history.
Not everyone gets as well organized in their collecting, but it is certainly rewarding to be able to set a goal, and then accomplish it.
I should point out, though, that despite being willing to pay "premium", as Clive called it above, to get rare items that I needed to complete the collection, I only did this in cases I knew that the item was going to be hard to find. I also didn't jump at the first such rare item - it needed to be functionally complete and in at least good condition. As it turned out, the market took care of itself as far as quality went. Because the rare pieces WERE rare, the owners generally made sure that they remained in good shape. I found it easier to obtain super-rare games in mint, unpunched condition than it was to find run-of-the-mill games. I got the impression that the rarer something was, the better people tended to take care of it.
Luckily, games are not like militaria in that there is not a big market for fakes, and the practical uses of the games are restricted as compared to militaria - which can be used for re-enacting, movie work, static display, etc. But I think the basic principles of collecting definitely apply. I was not out to acquire stuff in order to "flip it" and make a profit down the road. I had a genuine interest in the subject and wanted to own the stuff - in order to own it.