Now when I went about getting shelves for books, RPGs and otherwise, I did so in two rather distinct periods of my life - 1: when I was still a starving grad student, and 2: when I was out of school and had a job and was at the time still single and thus had $.
1: Generic Walmart shelves. They were all under $100 each, but I seriously don't trust them enough to put a full shelf-load of hardbacks on any of them except the very bottom shelves. At this stage they're just full of paperbacks and various hardcover novels, but not heavy RPGs.
2: Provided some money I went for really good bookshelves. Combination of solid wood framing and incredibly thick formed wood shelves. They look snazzy and they can hold up an entire 5 shelves of RPG hardcovers. They weren't cheap, but they're very much worth it if you don't intend to move anytime soon.
3: I have yet to go this route, but I intend to because I'm going to be adding a room onto my house sometime this year - that route is permanent shelving built into a room in the house on one wall. Entertainment / rec / gaming room, and it's going to have solid wood shelving intentionally for the heavier gaming books (Pathfinder hardcovers and nWoD I'm looking at you).
4: Also another idea that I may yet do because I'm running out of shelves at the moment. Used and antique furniture stores. If you're lucky you can find some incredible deals on older, very sturdy and solid bookcases and cabinets at such places if you don't mind taking them as is or doing some refinishing on them. Just got a solid wood liquor cabinet this way.