I have every Metal Gear collectors edition, mostly for new numerous sealed copies of the Metal Gear Saga Vol 1 & 2. My Bioshock 1 collector's edition comes with that awesome Big Daddy statue, and mine wasn't even broken. So that's nice. Halo Reach had an awesome one too, and I was able to snag that for $45, so you can't go wrong there.
I think my all-time favorite collector's edition has to be a toss up between my T rated Elder Scrolls IV collector's edition (that I got for free on launch day!), or my Mass Effect 2 collector's edition - just because of how hard they are to find.
Sidenote: I was able to get Oblivion: CE for free on launch day because Gamestop was running a promotion where if you traded in any two Xbox 360 games, you got one for free. Doesn't matter the cost. So I ordered Perfect Dark Zero and Project Gotham Racing 3 from the Microsoft Retail Loyalty site for a grand total of $7, played them both for a week, then traded them in for Oblivion.
Best. Decision. Ever.