For me, pretty much like every one else said - when it stops being fun!
I started out collecting Pavel Bure years ago (Early 90's). Sold off the entire collection of his except for commons - which I still collect, because trying to get all the expensive stuff was not fun anymore, and chasing down hundreds of parallels was impossible.
After collecting Bure, I went on to try to collect cards of every player that ever played hockey for the University of Michigan, after a few years, and over 4000 different cards, I started selling off those player collections (and still am selling them off today), and am only focusing on a few players that I got to watch play alot or that I met at games over the years.
I've collected Dallas Drake since he was a rookie, and only collect commons and some nicer cards when I can afford them up of Yzerman and Lidstrom, and do an autograph or jersey set once in a while.
But basically when it's not fun anymore, I stop collecting a player.
Kevin