Before I get into set building, I want to make one thing perfectly clear: There is no such thing as a 'real' collector. A real collector is someone who collects. These are all examples of real collectors:
- The kid who buys packs of Topps at Target and keeps them in a shoebox
- The high roller who busts several cases of Exquisite, keeps one autographed card of Rudy Gay and flips the rest on eBay
- The set builder who buys box after box of Heritage trying to get a complete set
- The team collector who wants one of every Durham Bulls card in existence
- The guy who is trying to get his entire 1988 Score set autographed through the mail
- The girl with 3000 different cards of David Ortiz because she thinks big men are sexy
- The guy who rips a box of every new product lookin' for the MoJo
- Your aunt who has had a 1983 Topps SuperVet card of Bobby Murcer propped up on her bookshelf right next to her Joseph Campbell books for the past twenty years for absolutely no discernable reason
- The guy who only collects bubble gum cards from the thirties that have been written or drawn on in blue ink
- Your cousin who got a factory set every Christmas from Nana, and has kept them all in the closet ever since
- The girl who collects players whose name makes her laugh like Lerrin LaGrow
- The guy who has EVERY single card of Ellis Burks because he saw him hit a home run against Chicago in a game he went to with his dad
- The creepy guy who collects cards numbered 666 and props them up on an altar surrounded by black candles
- The guy who has enough cards to choke a whale completely disorganized all over the house
Ok, now that that is out of the way, I've been thinking about this for a while now and I think I have finally come up with a succinct explanation of why set collectors build sets:
The chase is better than the catch.
The joy isn't in the having but the getting. A complete set is a complete set, but completing that set is an accomplishment. Take this page with one card missing:

If that doesn't explain where I'm coming from, then some one else will have to do it. That's the best I can do. If you just don't buy it, or you just can't trust a guy who goes ga-ga over 1991 Bowman, I ask you to put that all aside and accept an endorsement of my argument from none other than Motörhead.
How can you not trust a face like Lemmy's?
*Note: ALL wax packs - hobby and retail - are worthless. It's overpriced. It's a scam. It's for suckers. That's not the point.