The thrill of the hunt is part of it for me. I enjoy tracking things down and getting the best deal possible when possible and not resorting to over priced BIN ebay listings. Its very satisfying to find something you have wanted for a long time but for what ever reason haven't bought yet because condition was either terrible or the price was. My Duo-R for example took me months to find at a price and condition I was happy with, after looking in many places and posting listings on forums I eventually came across a fairly low key site through a google search run by a member of PCengineFX who rarely posts on the forums, he not only sold consoles but also offered them at different price levels(boxed, non boxed, modded, unmodded and combos of the above). After about a month of back and for emails I became the proud owner of a boxed(though not CIB, need to track down the paper work) of a PC Engine Duo-R with a region mod.

My next hunt I'm thinking will be for a Neo Geo(likely CD, as infinitely cooler as the AES is the cart prices are terrifying) but I'm gonna give myself some time to enjoy what I have before I start looking in earnest.
But its not just the hunt I love, its the social aspect as well, I enjoy posting on forums and discussing the hobby with the great folks on AtariAge and other forums. Its fun to talk to like minded people on here, as outside my little brother and the people that run my local independant retro stores I just don't know anyone else who has a passion for the older stuff. I've talked with my coworkers about it before when they have asked but they were baffled why I'd want to play older games when I own a 360.

Another fun aspect of the social part is finding out through word of mouth about games and sometimes consoles I've never even heard of and discovering a gem.