My favorite is probably my personally signed copy of Tommy Tallarico's "Gaming's Greatest Hits II" that I ordered from his studio sometime in the late 90's. Didn't expect it to come signed, so that was cool.
Then I've got my Sonic 10th anniversary omake box from Sonic Adventure 2, with its gold coin, gold cd, and little history book.
Finally, My Final Fantasy VII Potion kit. Comes with the glass vial and a FF VII history artbook. And for the record, the potion tastes like a mouthful of Skittles and DID give me back 100 HP.