Retro Speaking my copy of Lunar Eternal Blue stands supreme as my all time favorite. Best collectors edition of my modern games was my copy of Guilty Gear Xrd. Nothing special about it really but I had to pick something. Limited collector editions don't get me excited now days. I don't get them unless they have a soundtrack CD
We think a lot alike
Lunar Eternal Blue Complete and Arc the Lad Collection are probably my favorite ones I have. The amount of love and care Working Designs put into them is amazing.
I also prefer if there's a soundtrack CD; when I acquired Eternal Blue Complete, the one item I wanted to be sure was still there was the soundtrack. I've bought Soul Calibur strategy guides just for the soundtrack CDs
I don't have many more current collector's editions. I got a few, but I stopped getting them when I realized they didn't really come with anything I wanted that much. The Soul Calibur IV Collector's Edition was pretty cool with the t-shirt, but I ended up getting rid of it a couple of years ago because it was always too small, even though it said it was x-large. And the huge tin doesn't fit on my game shelf.
My Mass Effect 3 Collector's Edition is probably my favorite modern one, but just because I got it signed by Jennifer Hale (voice of FemShep).