Since we're all talking about shelves, I thought I'd throw some pictures of the ones I built into the mix. They're for CD's, but the theory applies to games and stuff as well. They're not nearly as fancy as Goodwill Hunter's, but work great for a quick and dirty solution. And hey, I'm a quick and dirty kind of guy.
I thought this little half wall would be a great place to store my CD's. The first thing I did was paint the wall green (I later painted the entire room green).
This picture is the key as to how I build shelves. First of all, I build them upside down. I take the two side pieces, and screw or nail them into the top shelf (which is lying on the ground -- remember, it's all upside down) so it looks like a big letter U. Then I take a few of whatever the shelf is supposed to hold and put them on each end of the board. In the above picture, you can see I have a few CD's. Then I put TWO CD'S sideways on top of the stack. Do this on both ends, lie the next piece of shelving on top of the two stacks, and screw it into place. The shelf should be exactly even because the stacks on both ends are even. Make sense? Then just move your CD's to the next shelf up, lay down another piece of wood, and do it again!
Here you can see my impromptu spacer holding a shelf in place before I screwed the shelf in. I found that 2 CD's sideways is just about the right width to get a finger in there and pull a CD out. When I built my DVD shelves, I did the same thing -- a stack of DVD's, and then 2 sideways on top.
This is what they look like when being assembled. Remember, you're building it upside down.
This is an old trick that I always use. When building shelves, I always notch out the backside of the bottom of the supports. That way, I can push them flush up against the wall. The notch goes around the floor trim piece on the wall.
Unfortunately, the wood I bought for this project was either too soft or too long. You can see the shelves sagging a bit in the middle in the picture. What I ended up doing was going back to Lowe's and picking up a dozen of those little (3") metal L shaped brackets. I supported each shelf in the middle with one, and stuck one on each side to hold it to the wall. A $10 stud finder will help you find the studs in the wall, so you can secure your shelves directly to wood.
Here is the finished product. The wood for this project cost me around $20-$30 if I remember correctly. I prefer wood screws but you could use nails if you wanted. They aren't fancy, but they're a cheap and quick way to store a bunch of stuff. They look good painted or stained, or if you can pull it off in your room, they don't look bad just plain.