When I was doing this, I always wanted to sell in bundles. However, I found that I got better offers when I sold parts. If your collection is big enough, it's possible that you'll have a lot of stuff that somebody won't want to have to buy just to get those one or two games that they do.
It all depends, though. While not games, I had a rather large collection of Tori Amos singles from around the time of her second album. A lot of stuff that was pretty rare at this point, and I just sold the whole set for like $700. At that point, it was far easier (and possibly more profitable) to do it as one set.
So, it all depends on how much effort you want to put into it. Selling it as one big set will make it easier, but selling things as singles might get you more money for those items. However, you then may be stuck with the items that people don't want and you then don't want either.
WARNING: This post may contain violent and disturbing images.
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