I'd say: consistency is key.

I have no problem, having the titles listed alphabetically, with a lot of them prefixed by "the" - as long as this is consistently done.

I would have a much bigger problem, if it was (e.g.): "Longest Journey, The", but then "The Silent Age", etc.

In short:
I don't mind having games with "A", "An" and "The" in their title, sorted alphabetically - as long as it is done throughout.

I just sort by recent, which seems the most logical approach to me, certainly with a lot of games.

Any leading or trailing 'The' is not an issue then, and when I go to my library I can instantly see my latest purchases.

I also set TAGS immediately for new purchases, so that if I ever do need to call up older purchases, they are only a TAG or keyword away.

Other than that, I use an Excel spreadsheet, where I can sort things how I like, including making any leading 'The' a trailing one.