Probably when I actually buy the games themselves. Yeah, I have great memories during the playthrough of the games like evolving my team, beating tough opponents, and overall raising tough little battle monsters for amazingly fun game play. But for me, nothing beats the memory of going into the store be it Best Buy, Game Stop, or Circuit City (when it was around) holding the game case in my hands, and buying the thing just imagining all the new different things I will get to do with new Pokemon. That is the greatest memory of all for me.
Oh, and buying the Pokemon Adventures graphic novels. That's another great memory XD