I'm a multi-gen collector.
My first ponies were Ride-Along Fluttershy and the Celestia and Luna 2-pack, bought at Target in 2011. Later that year I also bought G4 Applejack, Rarity, and Twilight Sparkle. At the thrift store I found my first G1s and G3s: a bag containing Sparkler, Skyflier, Rainbow Flash, Scootaloo, a Ponyville Scootaloo, a fakie inspired by the G1 Carousel Ponies, and I believe McDonald's Minty and Rainbow Dash were also in that bag. I also ordered Rosedust off eBay when a cheap one turned up because I really really wanted her in the wake of seeing the movie and End of Flutter Valley - she is my favorite pony. Yard sales (I forget if they were late that year or early the next) yielded Forget-me-Not, the doll that was the base for my "Grown-up Megan" custom, and my sole G2 (Sundance IIRC but not sure). 2012 was the year I started buying ponies in earnest with the money my spring seasonal job. eBay, forums, thrifting, and a collectables/antique shop in town for G1s, Target for G4s. And so on. G1 and G4 have been my main focuses, though I have picked up a few more G3s (namely Hidden Treasure, Royalette, and Bashful Bonnet plus more McDonald's G3s, which are just the right size for interacting with regular G4s) at yard sales and as I got more into it ordered a couple off eBay: Razzaroo, Star Catcher, and I want to say that's where I got my G3 Pinkie Pie. The one gen that I haven't really gone to any trouble to collect more of is G2.