I buy new games, but I ALWAYS open them immediately, especially if they're for the X360, because too many times the disc will be damaged, if only a little, and I need to know right away whether I have to exchange it.
Once upon a time I owned a number of games I hadn't yet opened, and upon opening one of them well past the date by which you can still return it, found it was completely wrecked. Fortunately it had been a cheap one, and I got away with trading it in for a moderate loss. But that ended my days of buying but not opening.
As for whether I play them immediately or stick them right on the shelf...it's half and half maybe. I don't have a long-term plan for what games I'm going to play when, but I do know that there are games I'll definitely want to play. Some games will be ones I'll drop everything to play (New Vegas, Mass Effect 2, and the upcoming Dead Space 2), but others are more "who knows when I'll get around to it" games. Could be next week, could be next month. It'll be an impulse play, and it's nice to already have it on my shelf when I decide to play it.
Yes, this occasionally results in me paying full price for games that drop in price by the time I play them. Doesn't happen often, but it happens. It also sometimes results in me having games that become very difficult to find by the time I play them, so it's not always a bad thing. I'd rather get a game and sit on it than have to scramble for a copy when I finally decide to play it.