I've done a lot of PC game shopping this way, by waiting until the games get a bit old and cheap and they start putting together gold, platinum, and/or diamond editions. Just recently I got Neverwinter Nights Diamond (everything about it for twenty dollars), and I'm still waiting on Civilization 4 Gold to arrive (it went down in price, too).

However, the one huge problem with this is that sometimes the collections still require you to type in CD keys for each and every game included - and sometimes they don't have the courtesy to check and make sure the keys are printed in the manual correctly. Warhammer Dawn of War gave me a working CD key for the core game and Winter Assault, but then for Dark Crusade, four characters of the key were inexplicibly missing. In the Neverwinter Nights collection, I got three keys, one for each game in it, and they were all identical. CD key mistakes are like showstopper bugs, as in they come very close to making the whole thing unplayable, yet you don't have to be a programmer to spot them. Just have someone peek inside all the manuals you print.

I never would've gotten to play those games if I hadn't realized that, for Dark Crusade, you could put four zeroes in an arbitrary location in the key to make it work. And for Neverwinter Nights, I sent an email to Atari and they must've been on the ball that day because they sent me three more working keys the very next day.

Overall, though, console game box sets might be the better deal, because at least you're absolutely sure they're going to work.