You'll notice that I tend to refer to all ponies as females, although there are in fact male My Little Ponies; look, it was a different time, okay? We don't like to talk about it. You can safely assume that all MLPs are female unless otherwise noted.
Perhaps the most important thing to know about MLPs is that they are collectible on virtually every budget- most can be found in decent condition for ten dollars or less, but if you're interested in ultra-rare, ultra-expensive Holy Grail toys, there are a few of those available too. If you're willing to pick up some ponies that look like they've actually been played with, you can get them for a buck or two- or even less, if you buy in lots.
Condition is an important factor that collectors used to pre-ordering only brand spankin' new toys from the weekly "Reserve or Regret" list may not be familiar with, but it's obviously important. Since vintage ponies have almost always been played with, they may have one or several flaws; frizzy or cut hair, color fading, signs of dirt or other markings, etc. Personally I feel like these are mass-market toys and signs of play are to be expected, but I usually draw the line at multiple flaws on the same pony. Furthermore, many of my ponies show no real signs of play at all, and I still have never paid more than $10 for any individual pony.
There have been three generations of My Little Pony: G1 was the original set of lines, which was in production from 1982 all the way until 1991. G2s were slightly elongated and anorexic-looking ponies that were briefly available in the late '90s, and in truth we don't like to talk about them much. The current generation has been in production since 2003, and these are the ponies you see on the shelves today. G3s are smaller than the originals, more anime-inspired, and whoever came up with the mold for them should probably be shot...I mean, while I appreciate some G3 designs, they are not my personal favorites. I'm a G1 collector primarily, in case it wasn't already obvious.
This is going to sound odd, but there's also a distinction between a ponies' species and it's line: There are earth ponies, unicorns, pegasi, sea ponies, and flutter ponies, but all of those species appear across multiple toy lines. For example, my collection includes a lot of Twinkle-Eye ponies- or ponies with sparkly jewel eyes as opposed to the normally painted-on eyes. However, within the TE line there are earth ponies, unicorns, and pegasi; however, there are no TE sea ponies. Don't get me started on the flutter ponies; they're like the overpriced Volks Miku of the MLP world. Other lines that work similarly are the So-Softs (ponies with a softy, fuzzy covering over the plastic), and Sparkle ponies. Baby ponies have several lines all to themselves. Just FYI, there are no unicorn/pegasus hybrids: if you ever see one, it is a G3 abomination, and should be dispatched in the same manner as members of the undead.
And finally, MY COLLECTION!
G1
This is Fizzy; she is a G1 pony from 1985, and one of my personal favorites. In truth, it's not so much her design (and this is one of my least-favorite poses), but the role she played on the My Little Pony and Friends cartoon that makes her so special to me. She currently has Most Favored Pony (MFP) status, which means she is always on my desk with me. Fizzy is both a unicorn and a Twinkle-Eye Pony, and I used to think that she was very special for that reason, until I realized that fellow unicorn Galaxy is the exact same way- she even has the same pose. Fortunately, Galaxy was also a cool character on the cartoon, and she and Fizzy could conceivably team up and use their unicorn powers to defeat the X-Men (seriously- I've done the math), so she's okay in my book.
Here's a common sight in the world of MLP collecting: multiple Sundances. With important roles in both the TV show and the movie, as well as several special releases, Sundance is an extremely common pony- if you buy in lots whatsoever, you will eventually acquire a Sundance whether you want one or not. Common as she is, I like Sundance's simple-yet-elegant design, so she's not a bad pony to run into all the time. Nevertheless, trust me, you do not collect Sundance; Sundance collects you. She is everywhere.
A few of my Rainbow-haired ponies. Poor Sunbeam on the left is actually in fairly poor condition, with marks all over her body (although you may not be able to see many of them here.) She's approaching what collectors call "baity", or bait for someone who makes custom MLPs- which are pretty amazing, by the way. There's nothing quite like custom goth ponies in fishnets. Parasol is in great condition, however.
This is Glory, another contender in the simple-yet-elegant design department. If there's one theme in my collection; it's trying to get all the ponies I had a connection to as a kid; One of my favorite children's books was about Glory, and her quest to recover her horn from an evil wizard. Awwww.
Pegasi! The unfortunately named Whizzer is on the right; Medley, who appeared in the original MLP TV special and several books, is in the middle, and Skydancer is on the right. Skydancer has the distinction of having appeared in the cartoon for only about five seconds for purposes of selling the toy; I'm not sure how I ended up with her.

Yet more Pegasi, Firefly and Masquerade. Firefly (on the left) is one of the most recognizable ponies due to the fact that she was the star of the original MLP TV special, Firefly's Adventure. She's just kind of like an anchor toy- like Sundance, no MLP collector can avoid her. Note the twinkle eyes on Masquerade, by the way. If you ever see a pony that looks just like Masquerade, only with no wings, it's Magic Star, a pony on my wishlist; I'd like to get her as a So-Soft so the two don't look so similar.
G2
This begins the G2 section of my collection....
....
This concludes the G2 section of my collection.
G3
I've accumulated a few more G3s since, but it was Silver Rain and Starflower who convinced me that the G3s weren't a complete waste of my time. I think the fact that the G1s actually look somewhat like horses, and have a kind of charming awkwardness makes them vastly superior- they just have more character, period- but that doesn't mean I can't appreciate something pretty when I see it. This may seem weird coming from an anime columnist, but I liked it when everything didn't have to have huge eyes and be so in-your-face with a "Look! Look how CUTE I am!" sort of attitude. I like these two because they've got a little more going on design-wise than most of the current ponies- Pinkie Pie and Rainbow Dash and all that lot are a waste of plastic, frankly.
Unfortunately, the ponies being produced today are limited to a few flagship characters, the so-called Core 7, so I haven't been buying any lately, but hope springs eternal. Also, Hasbro has answered my prayers and re-released some of the older ponies in special collector's sets, so my dream of a new Fizzy may not be entirely in vain.
Well, that was probably more than you really needed to know about My Little Pony, but hey, knowing is half the battle- I don't know which battle that would be referring to though. Anyway, if you're still not impressed with these gals, you could always pick up a few just for the purposes of setting up something like this:

I recommend it.

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