My Answer: Yes, yes, yes, yes, yes??? As a matter of fact, I do collect series, and have since I was a tween! Now that I'm in my early 30's, my husband says a few of them need to go!! You see, I've got TOO many! I read all genres, and have found some wonderful series in each one.
Fantasy: Jacqueline Carey's Kushiel series (6 books now, more to come)
Romance: Stephanie Lauren's Cynster books, Bastion Club, etc (she's got quite a few good ones out)
Christian: Janette Oke's Canadian West series, Francine Rivers' Women of the Bible Series, Orson Scott Card's Women of the bible series (Yes - THE Orson Scott Card who normally writes Sci-Fi-ish books!!!!)
I really could go on and on! There are some great series out there! Until I participated in this Tuesday Thinger, I wasn't aware that LT had a series feature! Thanks for letting me know - I'll be sure to head over and check it out!
Update: I forgot a few great ones!! Most recently I've read the entire Dresden Files series by Jim Butcher - wow was I surprised that I liked them!! Then of course, there are the children's classic series like The Five Peppers and How They Grew, Little House on the Prarie, CS Lewis' Narnia series, I really could go on and on!!