My collection is mostly divided up into a couple sections: Collector's/Limited Editions of games, OSTs, art/etc. books, and "other".
I don't really have any single items that are particularly valuable or noteworthy, it's generally just the collections themselves that end up meaning something.  There are a few exceptions.
Varia Suit Samus from First 4 Figures is a bit of a special item for me.  I paid a fair bit of money for it, more than I'll usually pay for this kind of thing.  I have a longstanding emotional bond with Samus, though, so I wanted to get it.  I'm a big fan, like Sy, and I'm actually still considering getting 
Zero Suit Samus.  Don't need or want any of the others, really, though it'd be awesome if I could get the 
MP2 gunship.  But that's $300, and well out of range for any sane collector who isn't rich.

My bunch of CE/LEs are something I take a bit of pride in.  I have others that aren't listed here, but I don't feel like hunting down the ones that aren't currently grouped together on the shelf.  So I've got special editions of: 
BlazBlue, Morrowind, Oblivion, Fallout 3, Warcraft 3, Quake Wars, KISS Psycho Circus, Bioshock, Disciples II, Prey, Guild Wars, Guild Wars: Factions, Guild Wars: Nightfall, GTAIV, Bully, Gears of War, Final Fantasy XII, Jedi Knight II: Jedi Outcast, and 
The Witcher.  There are a few others, like I said, but I'm in no mood to hunt them down.  A number of others are also limited first-run things sort of like 
BlazBlue.
I have #203 of the limited 500-copy run of 
Doom 3's theme on 7" vinyl released by Waxploitation records and signed by Chris Vrenna.

I have the special 20th anniversary box for 
Castlevania: Portrait of Ruin.

I have a bunch of 
Final Fantasy XII stuff, including the Ultimania Omega guide in Japanese, the six original promotional posters of the characters, a cardboard store standee, the full 4-CD Limited Edition OST, and a nearly-complete run of the first set of pins they released in Japan (these are a bitch and a half to find).  Sadly, I do not have any of the large figures or the amazing Judge Gabranth resin helm that generally costs over $1,000.  And at one point, I almost did have it.  Oh, and I have the mini figures of the main characters.  Can't find a picture with all of them in it, so there's just a picture at the bottom here that looks pretty similar.





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I have a whole metric crapton of 
Seiken Densetsu/Mana-related stuff.  I have original Japanese 
Seiken Densetsu 2 and 
Seiken Densetsu 3 carts, a number of Japanese guide and art books, a gigantic 
SD3 sheet music book, and nearly every OST ever released for the games, including 
Final Fantasy Adventure, Secret of Mana, Secret of Mana +, Seiken Densetsu 3, Legend of Mana, Sword of Mana, Children of Mana (no actual CD - it was digital distrib only over iTunes in Japan), 
Seiken Densetsu 4, and 
Heroes of Mana.  A lot of this stuff I can't even find pictures for.















I have a Saturn with an original copy of 
NiGHTS plus the special controller.  No 
Panzer Dragoon Saga yet, sadly.  =(



I also have a bunch of cool old oversize display boxes from the earlier days of Electronics Boutique, including one for 
Sword of the Berserk for DC, 
Half-life: Opposing Force, and... I forget.  Some other ones.  Unfortunately, they've been broken down and in storage for years.
I also have a nearly-complete collection of figures from 
American McGee's Alice, both series 1 and 2.  As far as I know (information on what was available in each series is basically nonexistent now, and was nearly so back when I started collecting them), I'm only missing 2 of the 4 card guards, because they came packaged in sets of two and it was random which 2 you'd get.  I was never able to find a pack with the 2 I needed.  So I have both editions of Alice and the Cheshire Cat, both of the White Rabbit (series 2 was a black one), the Jabberwocky, Tweedledee and Tweedledum, the Caterpillar, the Mad Hatter, and 2 of the 4 card guards.

I have a large collection of maps from various games as well, like the cloth maps from 
Neverwinter Nights and 
Ultima IX: Ascension, and poster maps for way too many to bother listing here (though I really love all the 
Elder Scrolls maps, and Sy was nice enough to laminate me the giant one from 
Oblivion).

I could go on and on about the other OST discs and the art books and such, but those aren't really my top stuff anyway.  I have some other figures as well, such as a couple from the 
Diablo II line and whatnot, but... eh.  I'm tired now.
So there you go.  That's most of the gaming stuff that means the most to me.
EDIT - A few changes/additions/edits.
EDIT x2 - Fuck.  I didn't know seikens didn't let people hotlink images.  I'm going to have to yell at Sheexy for that.  Yell with loudness.