I completed a full PAL retail release set a year or so ago, and the one game that REALLY gave me trouble in terms of finding it was the H.E.S./Salu release of Baseball.
In 7 or so years of active collecting, I only saw it twice... The second time being when I bought it.
I lucked out with other H.E.S/Salu releases. They are incredibly difficult to find and are usually very expensive.
Overall though, if you are patient, it's very doable.