I have never collected anything in my life. Just not that into "stuff." ('Cause what happens is that I don't know where to put it all, and then at some point we end up moving, and then you have to throw half of it away. Better to never even get that half to begin with.)
My one recent concession, though, is good books about basketball. And lately there have been a lot of really good ones! (And there are more coming, including a Brian Windhorst and Terry Pluto book about LeBron James that I'm eager to see.)
The best list I have seen of the must-read basketball books of recent years is up now at the Painted Area. Great stuff.