Pretty sure you aren't supposed to advocate emulator games on he forums, so I won't be suggesting those.
If you are considering getting into Pokemon and tackling the actual *collecting*... It depends on how "personal you want your collection to be.
Gold/silver have a ton of 1st and 2nd generation Pokemon.
Diamond/Pearl/Platinum have all the 4th gen, with a mix of 1-3
Black/White/2's have all the 5th gen, with a mix of 1-4.
Any of them are a great place to start. If you have the older DS model, that had a GBA slot in the bottom, you can even pick up Fire/Leaf for 1st gen, and Ruby/Sapphire for 3rd.
Many players who love the collecting/breeding elements of the game take a certain satisfaction in passing their collection up from game to game, over the generations (hence the fervor over Pokebank).