I usually try to do as much research as I can on a game before proceeding. Sites like Hardcore Gaming 101, Racketboy, Retronauts, and Sega 16, I've spent hours just reading through. I also found a lot of games to try just by watching Gamecenter CX.
Only thing I feel I should be more cautious about is purchasing from companies like Limited Run. Very rarely am I disappointed with what I pick up from them, but I feel like sometimes I catch the limited time offer bug and just add to my back catalog unnecessarily.
Sometimes though, it's just fun to take leaps of faith if it's a genre I like or feel doesn't have too many stinkers.