I don't. I pray I don't buy the same game over and over. It usually works.

I made a list on IGN with a good majority of the games I own. I did it more to see how much my collection was worth at retail prices(way more then I thought it would be.). It seems to have a good data base of games, even some of the obscure ones not many people have heard of that I have collected.
Its free to use and you can sort it by platform, alphabetically etc. It won't tell you where you keep your games just that you have them though.

I use a structured directory layout for mine
D:\Digital Games\%SERVICE_NAME%\%GAME_NAME% with subfolders for any extras

No real managerial effort.
I keep installers of all GoG games handy on an external drive.
Steam does it's own managing, and retail games go on the non-virtual shelf.

Same here- I just store my games on my external HDD, with all of the extras, etc.

After a mid sized post, my router decided to die on me. Back on the backup one now...
For the most part (aside from, say, Steam, but that is getting bloated at over 100 titles), I also use a Directory path method. G:\Games G:\Installers G:\Bonus etc...
Where possible, games are installed to an external drive, but installers and extras are always backuped twice.
In the past I've used a numerical directory layout (C:\0001, C:\0002, C:0003 etc), Excel 97! Forms as an app/game loader, a custom batch script and tried out a bunch of game launchers. In every case, I've returned to the directory layout. I like to know what and where files are stored on my machine, and to keep it with good maintenance.
Services like Raptr are around, if you like 'the social web gaming 2.0' but I end up using these for a day at the most.
All the titles I own (on all platforms), are stored in memory of the brain. I can't list every one, but I can tell you if I have it, and remember before purchase.

- You made your own App thingy.
Some of you have already seen part of it online as the wishlist project. But I also have an offline component which manages my collection. I'll be adding it to the wishlist at a future date.

Most of my games are downloads (steam, gamersgate, greenhouse, GOG etc.) so the only thing I do is back them up on my external hard drive and I'm done. Retail PC games I just store on the shelf.
Now with my 360 games I do it a little different. Since I know that I will not re-sell any of them I dump the packaging and just archive them in a CD "portfolio" alongside any extra material (manuals, promo XBL free codes etc) and that's it.
I do have a list though but its only of the games I backed up off of steam (since you can back them up in a bulk) just to remember which ones are in which archive.
I could make a custom database app for my games but the need never arise since when I'm buying or browsing games to buy I know exactly which games I have and which I don't so I dont even need that list of mine.

For my games, I use wooden cabinets with lots of shelves, and glass doors. This is also where I store any larger extras like statues and figurines. The manuals and extras for older games (read: loose manuals too big to keep in the game jewel or DVD-case) are kept alphabetically sorted in a filing cabinet. Larger boxes are stored inside large, heavy and thick cardboard cases up in the attic, where they are safe from dust, pests, and humidity. I have a registry on my computer, and one AFK, which shows what games I own, and all their extras and boxes, etcetera.
In fact, that registry isn't complete, as I have not had time to work on it lately. I usually remember what games I own, though. I don't mind buying a game twice or trice either, in fact, I already got the original releases of most of the games offered at GOG, but I still buy the GOG version as well, to complement my collection and have an online backup which is easier to use than the original disks.

I use clearly visible shelves for management of physical copies, digital ones I only get from GOG, so it's not that hard to keep them sorted in the same folder
I've had a few occurrences of buying the same game twice, but usually for good reasons:
* Myst 3: Exile - I stumbled on the collector's edition a couple months after I bought the normal version.
* Riven - the first one I bought was apparently in French, of which I understand little and like even less.
* StarCraft - the serial to the first copy stopped working for some reason, and I had managed to just about scrub it off the case, so it was almost unreadable. Also I wanted to play it on the Mac, and the first copy only had the Windows version.
* Age of Empires II - I lost the disc in a move, so I bought a pack of the first two with their expansions later.
Fallout I only bought here, but I got it free with a gaming magazine a long time ago.
No accidental copies, so far.

I'm not having any difficulty, but then I only use steam and GOG
won't touch D2D and maybe I'll get into impulse when demigod coupons come out

I keep backups of retail/digital games in a binder and put the originals away in storage for safe keeping. The extras (from GOG) I usually burn to disc along with the installers to keep them together.
If I had the room, I'd keep all of the content organized by title on an external drive. As it is it stays organized on title on optical media.
Since my collection isn't massive I can remember whether I own any title I come across with the intent of buying.

Well, thanks to everybody who shared their views/methods/suggestions on this so far.
Some of you focused a bit more on the storage process than on the process of creating a list . Regarding digital downloads i guess the majority of people including myself uses a directory structure of some kind.
As for buying the same thing twice: That's not what i'm worried about. Tell me the name of a game and i'll be able to tell you if i have it or not. Ask me to name all the games i have and i'll probably won't remember at least half of them because i really have quite a few.
So, i really want something more focused on listing all the games, regardless of format, DD platform or location (HD, cabinet, attic, etc).
Ralackk's and Ois' suggestions (IGN tools or Raptr) could be a good way to start getting things organized, but i'm dead set on having something that runs locally and with some room for customization.
Almak's suggestion of building a custom database was starting to look like the way to go.
But i just found this App thingy: GCstar.
http://www.gcstar.org/index.en.php
It's not all i was hoping for but it's damn close enough and the fetch plugins are great for saving time. It took me 2 minutes to add 7 games to the list just by tiping the name of the game and clicking 'Fetch', so for collections with hundreds of titles this is looking really good :)
The attached pics show some retail titles and some from DD platforms i have. All the info for those games was fetched from Moby Games, and then some of it added by me.
And with a GOG like Shelf ? Looks like a winner :)

You know, It never even occured to me that anyone would need/want something like this =)
Though I must admit being quite fond of GOG's shelf, so I could imagine you'd want that for your other downloaded games..