I had the best parents *ever* when it came to this issue. They got me a Nintendo when I was very little just because. After that, they did something very special: they *asked* me what games I wanted.
All I had to do was make a short list of the games I wanted the most, made sure which platform it was (for example, when the NES was still kicking but the SNES was still new, I made sure that I marked one column as "NES" and the other as "SNES"), and gave it to them. They even told me to order the games from mosted wanted to somewhat wanted.
I never got all the games I wanted and was taught not to expect them (many unbought birthday games became Christmas' games) but it ensured that my parents always got *something* I liked.
In fact, there is only two times that a gift turned sour and both weren't their fault. The first time was they bought me that Sega handheld console and it was broken out of the box (which I exchanged for Earthbound), and the second was that the title of one game was very similar to another (seriously, it was only one letter of a difference) and even though my parents pointed that out to the salesperson, whoever serviced them was more concerned about making a quick buck than making sure my parents had the right game (ironically, even after I exchanged the game for the right one, the right one also turned out less than my expectations and I ended up just exchanging it for store credit).
Now I know what you're thinking: "What about your grandparents"? My parents just told them to send me cash and I would happily buy whatever I wanted with it.
Seriously man...best way *not* to disappoint your kids.