I collect books. Unless the book sucks, I will keep it forever...and probably read it a couple more times. I also collect notations in these books and it interests me to see how my interpretations change over the years and kind of coincide with my life at that point. I am particularly in love with British and Victorian literature and the older, the better. I also collect literature, history, sociology, and psychology textbooks. Oh yeah, and dog books.
I also keep my journals. I have tons of composition notebooks filled with whatever random crap I felt like writing down. I like to look over them from time to time but don't like to share them.
Other than that I don't really collect much. I guess I "collect" dog equipment and collars and stuff but I don't think about it like i think about my books.
Does anyone remember those animal information pamphlet things that were put out by the World Wildlife Fun? I collected those as a kid. Oddly enough, I lost them in my parents divorce.