I always keep all the games of the same console together. Right now, they're all in boxes on shelves. One box has GCN/Wii games, another has PS3/GCN games (we have quite a few GameCube games) and the other has N64 games, with the tops of the cartridges labelled. I remember when I was younger I used to organize it either in the order in which we got them, or in alphabetical order, depending on how I felt at the time. Then I thought "screw it" and stopped bothering with it.
My handheld games, however, are a different story. They used to be in a drawer in my bedroom, but currently the DS games are downstairs whilst the DS itself is in my room, and I have no idea where my Game Boy and its games are.