German Magazines:
Number 1: For me, the first ever (German) magazine was also the best:
TeleMatch (TeleMatch Computer, TeleMatch Computer Praxis). Needless to say I own all issues. It took many articles from EG and translated them into the magazine.
2'nd: Aktueller Software Markt (German)
3'rd: Happy Computer (German)
English Magazines:
Atari User (complete collection)
Computer & Video Games (First ever Gaming mag (Nov.81)) (I own all issues from issue 3 onwards, but stopped buying in 2003)
ACE (complete collection)
ZZAP! (complete collection)
Page 6 (half complete collection)
Dreamcast Magazine (complete collection)
USA Magazines:
Antic (complete collection)
2600 Connection (so far complete)
Electronic Games (first 20 issues (thanks to Russ Perry))
Analog
EGM
Compute
Current Magazines:
Games, Edge, PCW, Computer Shopper, Micro Mart, CGW
I own 2500 Computer/Console magazines, sometimes I love them more than the games itself :-)