It's very rare for me to keep a game for very long. As soon as I stop playing it at least on a semi-regular basis, I give it away to family or friends. With that said, the ONLY series I still actually own every game AND expansion for in hard copy is Dragon Age, all on PS3.
There's also a couple series I own every game from, but only due to Steam sales. Stuff like 7 Wonders, Left 4 Dead, Portal, Overlord, Mount & Blade, Gothic, Far Cry, Grand Theft Auto, Max Payne, Luxor, Majesty, Oddworld, Tropico, Trine, etc... And if including episode games like Sam & Max and Precipice of Darkness, this list really could go on for quite some time.