I wouldn't say I have a big collection but for a while I always tried to get a foreign copy of the albums. Later I collected single CDs. Today I don't really collect stuff anymoe, but keep what I have.
I used to collect a lot and my advice is: Either never start collecting or limit yourself to a special subject, like posters, promos, cardsleeves, touring passes whatever. But: You will never get everything.
That's the truth ...