I sold most of my retro stuff a few months back, so this is all I really have left to contribute to the thread...
Not exactly that exciting, but I've started a small collection of 360 shmup games that were only release in Japan. These aren't that hard to get hold of, but I like the exclusivity of owning games not available over here, plus I'm a big shmup fan and these are all ace games.
Top row (L-R) - Bullet Soul: Infinite Burst, Espgaluda 2 Black Label, Muchi Muchi Pork & Pink Sweets (Cave The Best re-release)
Bottom row (L-R) - Mushihimesama Futari Ver 1.5, Shooting Love 10th Anniversary XIIZeal & ΔZEAL (Special Edition w/ soundtrack CD)
I'd like to get a few more but they're very pricey to import, so it's a case of keeping an eye on the 'Bay.
I have a large collection of Edge magazines (doesn't everyone?!) but these are the highlight of them. For the 200th issue they released 200 separate covers, and I have three of them still sealed in their poly bags.
I have #18 Amaterasu (Okami) #54 Stranger (Oddworld: Stranger's Wrath) and #115 Katamari Damacy. I'd have liked to have got some of the Nintendo ones but they were pretty hard to come by. In a similar (but non-game related) vein, I also have a sealed Empire magazine 500 Greatest Movies special with limited Akira cover.
And last and most certainly least I have this rather random Sega handheld toy from a McDonalds Happy Meal.
Again, not rare at all, and this is the only one I have from a set of six, but it's kind of a nice oddity to have. It's supposed to be Outrun, only really really gooseberry fool.