Here's how I see the game collection vs. VC/XBLA download issue:
VC, XBLA downloads
Pros:
-You get the game YOU want to play
-Easily accessible, no disc needed
-Cheap
-Some versions have bonus features like online play and achievements
Cons:
-In the Wii's case, trouble with storage
-it might take a while before your favorite game is released
-Points
Collections on disc
Pros:
-Get the game you want and more
-Cheap prices
-You might discover a favorite you might have ignored before
-Bonus features and extras in some cases
Cons:
-You might get stuck with one good game and a bunch of mediocre/crappy ones
-You need to load the disc
It all depends on what you want. I honestly prefer to buy collections on disc because I get more than one game. I love all the SNK fighters, so having nearly all of them in one disc is very convenient.