Well, I can't think of anything more fun to collect than video games. Not only do you get a bunch of items to show off, but each of them houses a different experience, and any of them can be fun, even if just for a minute or 2 if you have some time to waste. Almost any game can have some entertainment value (just setup a small Shaq Fu tournament with friends, you'll see what I mean
), so no game is ever truly worthless (other than Heavy Rain, but that's a topic for another day). Collecting something like stamps or rocks or whatever other people collect will never be this fun... I think.
So yeah, I collect because it's fun. Heck, I wasn't even aware I was collecting until, suddenly, I woke up and realized I had over 100 NES games in my room (probably some time early last year, or the year before). I just started this "collecting" thing about 3 years ago when I wanted to pick up just a few NES/SNES/Genesis games I had missed out on or that I rented as a kid and wanted to have myself, and it snowballed to what I have now... and I don't regret it. I guess nostlagia has a small part to play here too.