I believe that the shelves in that AVGN picture are just crappy little shelves you can find at Walmart or Target, you know the ones made of particle board that are two sections high? He just has several stacked on top of each other. They're the perfect size for storing NES games on the front and back, but they're extremely poor quality and they break fairly easily.
A lot of people use the "Billy" bookcase from IKEA, and those are nice because the shelving is adjustable:
http://www.ikea.com/us/en/catalog/products/13690607
I just built a couple of shelves myself with some pre-cut boards from Lowe's, they each hold ~450 games and cost about $35 in materials for each. I only have a very basic knowledge of carpentry and it was very easy. Here is a picture of the two that I built:
I just took three boards and screwed them together like a big U, and do you see where I have that one plastic game case up top in the picture? I used that as a spacer for each new shelf that I put in, and after I got one screwed in place, I would move the case up and do it again. I think I got the idea from Braveheart or NGD on NA, I'm not sure who it was exactly.