Why collect wine when more than 95% of the world's wines are meant to be consumed within a year or two after release? I can give you two compelling reasons: first, a small percentage of the greatest wines--mostly reds, but many dry white and sweet wines, too--need anywhere from a few years to several decades to achieve their mellow, multifaceted maturity. By then you won't be able to find them or afford them--unless you already own them. Second, the wines you age yourself will probably be in better condition than most older bottles you'll find withering away on retailers' shelves.
All you need is a place that is dark, humid but not too damp, reasonably cool (preferably below 60 degrees but definitely below 70) and safe from daily temperature fluctuations. That, plus a few suggestions to help you avoid the most commonly made mistakes.
BEGIN WITH A GAME PLAN: Some wine lovers buy without making a realistic estimate of their future needs and quickly accumulate more bottles than they can possibly drink over a lifetime. Other collectors cellar too many wines that mature quickly and fade, or overload on one type of wine.