I'm not exactly opposed to setting one up, though I agree with Omega that chances that soemone will actually donate are usually not very high. I also don't like Paypal because they have a bad history in terms of freezing peoples' money without explanation for months or forever, and for privacy issues. I guess Bitcoin is currently the best option in this regard, but it is also not convenient to use, so if we were to do this then we should probably have both.
The most important question, though, would be what the money would be used for. Here's some ideas:
* Advertising:
Advertising could be an option, though I'm convinced that every good software can achieve widespread exposure (if, possibly, to only a limited degree) by means of both being high quality software and by working with the media. It surely takes longer, but also spends less money which may be usable for better purposes.
* Hosting basic services:
Then there's the hosting of website + masterserver + downloads. For now, that's free, and unless the usage pattern raises considerably, it will remain so.
* Hosting additional services:
If we had a headless game (which is not currently the case and unfortunately not likely to happen so soon), we would possibly want to host a game server for free for the community so that anyone in reach of this server can play network games whenever they want to, that's something I could image would be a nice use of funds. Another option would be to host a Mumble (a free teamspeaker alternative) voice chat server, but then that's not really neccessary either, text chat works well enough so far.
* Hiring someone:
I do not expect that we will want to hire anyone to work on the project, so this is not going to happen either.
* Umbrella projects:
It might make sense to pass some money to an umbrella project which could then use advertising funds to push forward the public exposure of not just MegaGlest but several similar projects. But so far this is just theoretical.
* Philosophically aligned projects:
We could also use such funding to support organisations which, by themselves, support other projects which share our ideals and philosophy, such as the Free Software Foundation (FSF). This is actually something I could imagine us doing.
* Sending out CD-ROMs:
Some people just cannot download large piles of data because it's too expensive in their area in general, or they have a bad contract or an unreliable connection. For these people, we could offer a program to send out CDROMs with the latest stable game version and the most common mods on it. With our Linux and Windows installers and one or two mods you could easily fill up a CD-ROM.
But that's all the uses for money related to MegaGlest I can currently think of. There could be more in the future, which we cannot currently think of right now, and at that point it would be nice to be able to already have some funds available. So this might also be an argument to start collecting at least the very little bit of donations we can already now.
Altogether, I'm still a little undecided, but part of me thinks it might be worth the effort to set it all up. I'm interested in other opinions there, mostly (but not limited to) titi's and softcoders'.