Do some research. If you can't remember the exact name of the game show, try going to the All Game Shows page on the Internet at http://www.topiclink.com/gameshows/Shows/. This website lists game shows in alphabetical order with links to more details of each show.
Search for it online. Once you know the name of the game show, you can type it into a search engine like Google to see what results come up. Look at the various websites that relate to your show to see if any of them sell videos or DVDs of past episodes. If not, write down as much information about the show as you can, such as when it aired and the name of the studio that produced it.
Look for websites that sell movies or television downloads. Some of these may also sell game show episodes. A good place to start your search for TV game shows is amazon.com.
If you or someone you know gets the game show network (GSN), check their listing to see if they are running the show you are interested in watching. If so, you can tevo or record it on videotape.
If all else fails, you could contact the studio that produced the show to see if they have copies of it for sale. If the studio is no longer around, you might try getting in touch with the Museum of Television & Radio to see if they have copies of the game show for sale. You can either call (212) 621-6600 or write them: FL 6, 25 West 52nd Street, New York, NY 10019-6129
Good luck in your search for copies of old game shows. In the process, hopefully you'll discover some things you didn't know before and have the pleasure of watching a game show that you really enjoy.