I picked up shelves and matching desks from Staples a couple of years ago that are serving my needs well. The desks were large L shaped things which are a little saggy now with warped wood and marred finishes on the desk surface - but they were cheap at under $100 each, so I'm fine with that.
The matching bookshelves were a pain in the ass to put together but have not bowed a bit. Tall non-adjustable shelves that hold lots of games and books. I think I paid $50 a piece for each and I am happy I got them. I still have the Ikea white Billy shelves from years past - but they were looking a little banged up and saggy with all the weight I had put on them.
I recommend visiting a local Staples and see what's available.
If you have a truck or other means of picking up the shelves and getting them home, don't ignore Craigslist. Sometimes you can pick up some great bookshelves there for CHEAP that are solid pine or maple for $20 or less. It's a very hit and miss way of shopping, but the payoff is large.
So called barrister's bookshelves, with glass doors on them, are also a good idea for games and books. If you are anything like me, you have developed a huge amount of stuff that you like to own, are proud of owning and claim to use "every now and then"... but the reality is "every now and then" is once every three or six years. If that.
In the meanwhile, dust and -- depending on where your room is -- sunlight can take their toll. Tinted glass shelves keeps most of the harmful light and nearly all of the dust out. An expensive means of protecting your gaming stuff when resorted to on the near industrial scale that most avid collectors require, but still worth it.
In the same vein, black steel 18" to 24" deep double door locker cabinets can hold a LOT of stuff and lock, too. The steel RARELY sags unless you are really loading stuff up. I have two of these units and have Borged a few of the shelves from one and put them into the other. I use it to keep all my miniatures. Expensive if I was buying them new - but I got them for $60 as piece off of Craigslist.
If your collection is extremely large and you have the space, I would recommend building your own shelves or have them made for you. Installed them along the walls, ceiling to floor, in your gaming room. Usually, a more expensive approach, but shelves like that last, add value to your home, and improve the usefulness and appearance of your collection greatly.