Can't speak for myself since I don't have enough to store (only about 10, not counting manga), but my mother's boyfriend keeps his in those little plastic sleeves and inside special cardboard boxes meant for holding magazines.

I bag and board everything. For over-sized and trades, I would often use the larger magazine bags. You can fold them over and tape them to the size you need. Yeah you could just put them on a book shelf too, but since all my other comics are bagged, I really disliked the idea of the larger one sitting out and collecting dust on a shelf.