Check this out on gamespy. Top 10 Gaming Grails. Really rare stuff!
http://uk.gamespy.com/articles/492/492961p1.html
Looking at the games people are mentioning on this thread I would say not many of them are particularly hard to get hold of or even that expensive.
Look at this list I found on wikipedia as well. I would say some of them are good ones to aim for in a 'collectors' collection.
Super Mario Bros (1987), Nintendo Game & Watch, Japanese version. The most valuable Game & Watch title when in mint condition, with only 10,000 manufactured.
Final Fantasy (1987), Nintendo Famicom, Japanese version.
Chrono Trigger (1995), Super Nintendo, US version.
Earthbound (1995), Super Nintendo, US version.
Exed Exes (1985), Nintendo Famicom, Japanese version. This cartridge fetches high prices in Japan when found with its Silver Members stickers.
Metal Gear 2: Solid Snake (1990), MSX-2, Japanese version. It is claimed that this title is so rare that it has never been seen on Ebay.
Panzer Dragoon Saga (1998), Sega Saturn, United States and European version.
Comix Zone (1995), Mega Drive, Japanese version.
Kizuna Encounter (1996), Neo Geo, European version.
Hyper Duel (1996), Sega Saturn, Japanese version.
Bakuretsu Muteki Bangaioh (1999), Nintendo 64, Japanese version, of which there are only 10,000 cartridges.
Tengen Tetris (1989), Nintendo Entertainment System, US version. This version of Tetris is collectible due to Tengen being refused copyright for its Famicom version of the puzzle game, but they distributed it anyway. It was pulled from shop shelves only four weeks after publication.
Marvel vs. Capcom 2 (2000), PS2 and Xbox. As the license for use of the Marvel characters has long expired, Capcom is no longer able to release this game in any format. As a result, the PS2 and Xbox versions of the game have become more valuable since their release.
Zoids: Battle Legends (2004), Limited copy release, 1% chance of a store having any copies.