However, no manufacturer makes everything you'll ever want, all in just one scale. You have to be a bit flexible when it comes to mixing scales if you want to get as much vehicle/figure/aircraft/building variety as possible. So, for me, if the various scales aren't radically different and they don't look out of place on the same table, I'm a happy camper.
I don't have the same vehicle in two different scales, so let's look at two comparable vehicles
Heroics and Ros and the bottom is a 1/285 US M35 "deuce and a half" by CinC. As you can see, virtually the same, as indeed the real vehicles are. I realize they look to be painted identically, but they aren't. It's just the crap camera on my iPhone.
Z scale however, is noticeably larger. Again, I don't have two of the same vehicle, but here is a 1/300 VW Beetle by Armstrong Miniatures (now part of Heroics and Ros) and a Z scale VW van by Noch
A real beauty of a Z scale model railroading building by Kibri and nothing even approaching it is available as a wargaming building. That's the 1/285 US M35 truck in front of it for scale
I couldn't afford TOO many Z scale models, as the price that model railroaders are willing to pay is literally breathtaking. However, quite a lot of these things are on eBay and I can just put in a low bid and if I get it, I get it and if I don't, I don't. Generally I don't, because the model railroaders go crazy for this stuff, but if I'm patient, I eventually get one for a low price. I only use Z scale for things that are totally unobtainable in wargaming scales, such as post office, fire station, etc. For my 80's NATO v WarPac games, I like to represent the sizeable German civilian population that realistically would've been caught in the middle.
If you've ever been to Germany and seen the old Fachwerkhäuser (half-timbered houses), they're actually very large and imposing compared to modern houses. So when I do urban battles, I'm happy to use the noticibly larger Z scale houses. I just try not to mix wargaming scale buildings immediately next to any Z scale.
I'd welcome comments on how you do (or don't) mix scales