I do enjoy full-set collecting on occasion, for my very favorite systems. I just completed my U.S. GameCube set in November, a journey that began in October 2001 when I got the system on release with Luigi's Mansion, Rogue Squadron II (still one of my favorite GameCube games), and Super Monkey Ball - I think I chose pretty well among the launch games! It was fun to collect it and to finish it.
However, if I had to do it over again there's no way I would have collected that set. Now the games are insanely expensive. Gone are the days when you could get 20 GameCube games for $30-40 from someone selling them off to fund their Xbox 360 purchase or something. It's kind of discouraging to think that era is over since it was a lot of fun.
At this point I've completed the sets I want to complete, except perhaps one where i need about 40 more games for the set that I may pursue, and also some variants/imports/etc. I'm interested in for GameCube and other systems. I can't imagine collecting for modern systems with all the download-code-in-a-box, digital-only, or useless-without-a-10GB-download games, plus the proliferation of re-releases ("Complete Edition," etc.) and so-called collector's editions.