One thing my DBF and I always do is look for CM's that have a "secret pin" on their lanyard. It's a pin that they have facing backwards so you don't know what it is. We always trade for the secret pins and then if we don't like it, we can just trade it again, but 9 times out of 10 it's something really cool!
We also only collect the ones we like...not any particular series. But for example, my DBF has a Mickey collection, a Villains collection, and an Aladdin collection. I have Simba and Stitch collections as well as a 3rd lanyard with just random pins (some tigger, some mickey, some tinkerbell, etc.)
We start buying pins on ebay afew months before our trip...we get them MUCH cheaper than in the parks and they are usually ones we don't want so we can trade them for ones we DO want.