Instructions
Construct the bulk of your collection out of any and all toys you can find from the Generation 1 series, meaning the toys that were manufactured during the run of the cartoon series (1984-1987).
Add factory-sealed G1 series toys to your collection to make it valuable and prestigious. Just be prepared to spend a good deal of money. The factory-sealed G1 toys (especially the leaders and popular characters) are usually sold for hundreds of dollars, as the series has become very rare.
Keep on the lookout for anniversary edition Transformers toys. Even today, Hasbro will produce limited-edition toys to mark anniversaries for the series. They will be a bit on the expensive side (for new toys, that is), but if you buy them and keep them factory-sealed, they are likely to appreciate in value.
Snap up factory-sealed Transformers that are modeled as replicas of the classic Generation 1 series. Be wary of any collectibles dealers that try to sell replicas as series originals. By checking the date on the packaging, you will be able to tell when it was produced. If it's not dated 1984-1987, don't pay the high dollars.
Find rare collectibles at comic book and toy conventions. It is likely that you will pay a pretty penny here (as the dealers at these conventions are well aware of what they have), but it is also likely that you will find rare pieces that are not sold in stores or online.
Buy loose (meaning they are not in their original packaging) collectible figures as well. Just make sure that the figures all come with their original parts and accessories. Shop for figures in the best possible condition. The more wear and tear they have, the less valuable they are.
Do your best to at least find the original figures of the Autobot and Deceptecon leaders: Optimus Prime and Megatron. They will be the crowning jewels of your collection (and likely the most expensive).