The low-production run classics

Radiant Silvergun – Saturn
We already dedicated a whole feature to Radiant Silvergun's awesomeness, so we won't dwell on it here. It only came out in Japan, so it's hard to find in the UK or US. Expect to pay £100 for a copy in good condition – one recently went on eBay for around £60 recently despite suffering water damage. Come on, if you're going to buy one, at least get one in good nick.
Average eBay price: £80 ($160) 

The Legend of Zelda: Twilight Princess – Gamecube version
Such a new game, already rare? Yep – Nintendo kept their promise by releasing the Gamecube version alongside the Wii one, but in nowhere near as many numbers. A sealed copy sold for £70 recently, and we can only see that figure rising in the future. Annoyingly, we bought one at launch to keep as an investment, only for a desperate friend to ask if he could buy it from us to give as a Christmas present. To be played! Oh, the horror…
Average eBay price: Unopened: £65-70 (about $140), boxed, opened: £40 (about $80)

Dragon Force: Sega Saturn
When a great game is released for a dying console, it's always a shame. This strategy game features hundreds of animated soldiers on-screen at once, which was impressive for the time. It's not amazingly fun to play (we've tried it), but still essential for any Saturn collector.
Average eBay price: £40 (about $80)

Panzer Dragoon Saga – Sega Saturn
Perhaps the Saturn's most cherished game, it's certainly one of the most consistently high-priced eBay purchases around. Anything under £80 is a good deal, but expect to pay £120 for a complete copy in good nick. We once mentioned its value to a mate who then said "You shouldn't have told me that – I've got a copy at home and would've sold it to you for a fiver". D'oh!
Average eBay price: £100 (about $200)

Castlevania: Symphony of the Night – PSone
Its availability on Xbox Live Arcade hasn't affected its rarity value on PSone. Finding a complete, boxed copy is no easy task, even on eBay.

One copy went recently for £43, even without an instruction booklet. A complete one was recently sold for £102… just goes to show that digital downloads just can't compare to actually holding a physical embodiment of something beautiful.
Average eBay price: £40, though it varies greatly

Good games or bad, it doesn't always matter
A game doesn't have to be good to be of value to a collector. Remember, people don't buy crap games... or at least obscure crap games. So anything released in limited quantities on dying consoles is going to be worth something. For instance, the Adventures of Batman & Robin on Mega CD just sold for £210. Crazy. But, before youget your hopes up, it should be noted that your N-Gage collection probably isn't worth much. Sorry.