Artbooks are my favorite by a very large margin, and I'm glad more of them can be nowadays bought independently, I hate when a big hefty artbook is limited to collector's editions.
The next thing I like owning is little in-universe high quality items, like the Septim coin from TES: Oblivion.
I do love good quality statues but unfortunately the best ones are too expensive for me, and they eat up display/storage a bit too fast. I enjoy collecting the ones from the Assassin's Creed CE's and the Dark Horse Witcher ones, pretty good bang for the buck.
I used to like steelbooks too, when they were the big pc-dvd format (I think it's called G1 format?). When almost everybody started unifying the pc and console steelbooks in the smaller format I stopped caring about them, I mean they're still some of the nicer things to have in a CE compared to other items but I'm not that excited as before.
Last but not least, I love special looking boxes. Be it thick, sturdy cardboard (like Spore CE, Broken Sword 5 CE) or metal (like Anno 2205, the Fallout lunchbox or STALKER radiation ed), or even plastic if they have a distinctively unique look on the shelf (Fallout anthology mini-nuke).