I have been wanting something like this for quite a while, but nothing I saw ever quite worked for my purposes.  That, and these things usually cost more than I was willing to shell out.

I actually bought a couple of smaller shadow boxes at one point, but I wasn't happy with them either... not that they were ever able to hold everything anyway.

Finally, I figured it would be worth it to just build my own.  It is now hanging on the wall behind my computer as I write this.

Back: 2'x2' sheet of oak board (~1/4" thick)

Sides: 1" thick pine 2x4s

Shelves: 1/4" thick strips of aspen (you can find these in the "hobby wood" section of the larger hardware stores)

Sides and back fastened together with sheetrock screws

Wood dowels cut with a Dremel to ~1" used to hold up shelves

Ticky tack to secure the figures and vehicles/stands to the shelves

Held to a pair of picture hangers on the wall with a wire run between another pair of sheetrock screws (be sure to nail the wall hangers into the studs!)

Unpainted, though I changed my mind later.

Total cost: ~$30

In order to figure out how far apart to space the shelves, I had to go through a lot of experimentation.  Some of the larger vehicles (e.g., the Death Star) required more headroom, whereas others could get by with much less.

Instead of making the shelves all the same height, I decided to make every other shelf 2/3rds the height of the others.  Thus, I figured out the individual heights via substitution:

Relationship between small and large shelves: 2/3x = y

4x + 4y = total height of display case

Substitution yields: 4x + 8/3x = total.

From there you solve for x and get the height of the large shelves, then solve for y to get the smaller ones.  The heights were then marked off on each side and I drilled holes for the dowels, inserted them, and confirmed that the shelves indeed fit (they were cut down from longer lengths).

After that I arranged the vehicles (and, later, the figures) so that they would be distributed more or less evenly (I didn't quite get that right though) and my partner Dani and I applied ticky tack to the bottoms of everything before putting the case on the wall and the shelves in place.

If I had it to do over again, I would have used a larger backboard.  However, I wanted to avoid waste and save myself an extra couple of cuts by going with the smaller but standard 2'x2' back.  Ideally, it could have been another 6" longer or wider, but I guess it's fine as it is.

Everything is arranged in chronological order by film, then within each film so that you can actually follow the story more or less from the beginning of Star Wars to Return of the Jedi, then I started back up with The Phantom Menace.  Unfortunately, they discontinued the Micro Machines line while still working on the Episode I series.  Thankfully, I found the rarer sets on eBay, but there are a lot of vehicles I would really have liked to have seen produced.

The last two and a half shelves are the Aliens and Star Trek lines.  The Aliens series was limited to just a few sets, and even these were sort of reaching for content by putting in micro figures since there are only a handful of vehicles in the films.  These sets appear to only cover the first two movies anyway (which really is all anyone should care about anyway).

I didn't actively collect the Star Trek line.  Instead, I picked up a "collector's set" on eBay (where else?).  Bastards that they are, the toy company Galoob only released this set after making the real collectors buy the individual smaller sets of vehicles... then they release this one with the Enterprise 1701A (the one from the first few movies).  But wait, it gets worse.  After that, they go on to release two more sets like that with "exclusive" ships that you can't get unless you buy the whole collection all over again, and these are always the "must have" vehicles.  And they wonder why people stopped buying this line of toys.