I clean my games up really well when I first get them. Most of my games are on standard bookshelves, but my NES games required something different. Those games are all on custom shelves I built myself. Really, it was very easy, and not too expensive. I just picked up standard pine board from my local Home Depot--the width is perfect for NES games, and spaced out shelves that were five inches apart. Screwed them together with wood screws, slapped on some backing, and bam!! Instant shelves. It only took an afternoon, and I think the games look quite attractive in the shelves. Very space efficient as well.

Atari games (I don't have a lot) are in some shoe-type boxes in my game-room closet, along with various other odds and ends. I found some holders for them, but I don't like them much...