Comic books - although they're more for reading than anything else. Current reads: She-Hulk (Dan Slott is one of the better working comic book writers today), Astonishing X-Men (so is Joss Whedon), Y: The Last Man (trade paperbacks only), Thunderbolts, All-Star Superman (Frank Quietly's art is top notch), Doc Frankenstein (Steve Skroce is a great artist and packs in tons of detail), Battle Royale (English translation). I don't really care much about monetary value because it's mostly a buyer's market...after the speculation boom of the 1990s, the only ones that are worth money are the ones that are truly rare.
Shot glasses - When friends and family go and visit foreign countries, I make a point of asking them to bring back a souvenir shot glass. I have them from all sorts of places that I've also visited, specifically Peurto Vallarta (Mexico), NYC (I have one with a plastic King Kong attached to it), Calgary, Edmonton, and Ottawa. Friends and family have brought me glasses from Greece, Australia, Hong Kong, Vegas, SF...
CDs and DVDs - I guess this isn't really that specific to most people, as I just buy the movies I like. Comedies, action, sci-fi, foreign/independent...some movies I can watch over and over again (Office Space, Fight Club, X2, Serenity, The Matrix), while others are really good, but I can only watch once because they make me feel like utter crap after watching them (Requiem for a Dream).