I have a lot of shiny things so it's hard to pick favourites, though I guess the things which represent something special have extra meaning.
Sailormoon Memorial Song Box. Partly because it's quite valuable now, partly because it's awesome, but even more than these factors, it reminds me of a bygone age where I could actually go to a high street shop in this country and occasionally stumble upon something cool and unexpected. Bought at Piccadilly Tower Records (RIP) on release as an impulse purchase
My doujinshi collection. A lot of priceless stuff in there of course, and especially important to me are the items I picked up from booths at Comiket/SCC myself in person or begged/borrowed friends to help with. Lots of memories.
Long DVD singles collections always feel awesome, so I second UY. I was somewhat proud of my complete run of R1 YYH singles too, but now better versions can be picked up for a fraction of the price and shelf space ;_;
My Ranma 1/2 manga set. I have the whole thing in Japanese and English, but what makes the Japanese set special is that I bought it years ago on a family holiday, lugging it through the humid summer to the hotel, and then I had to bring it home with everyone carrying part of the series in their suitcases because of the weight. So it reminds me of the struggle of a hobbyist (and the patience of my poor family, who thought it was quite dodgy but helped anyway).
Final Fantasy XI PS2 (JP) limited edition. It's not that great a limited edition by today's standards at all, but it shows I was there in the game a long time ago and I'll be there on the day it finally crashes and burns. Also, it has a cool box which helps hold some of the stupid extra junk other games give away.
R