I don't really have a main focus to be honest. I collect things I want to play someday, not going for a complete collection of any system. I've been expanding my collection from just games to art books recently. But that goes mostly for my favorite games. But in the near future I want to get my hands on a Dreamcast.
What are some of your favourite Artbooks? I enjoy looking at all the concept designs and seeing how the ideas were formed - My favourite is BradyGames - ' The Making of Final Fantasy IX' ... A little biased I know but it's a wonderful book which acts as a vacum in S-E's art department and flourishes with all sorts of sketches, NPC designs and background art, there aren't many FF artbooks like this sadly but I'm grateful there is one to my favourite game 
Two that really sticks out from the rest I got is Dark Souls Design Works. It contains character sketches of monsters, npcs and all the main classes. Area artwork of both used and unused material and if not all then most of the weapons and armor in the game.
And then the "crown jewel" of my art book collection so far is The Art of Blizzard Entertainment. I'm a huge fanboy of Blizzards earlier work. It contains art from Blizzards 3 main titels, Diablo, Warcraft and Starcraft. It's almost 400 pages thick with everything you can imagine. Even from games that never got to see the light of day. It even got some christmas drawings in the last section of the book.
Next paycheck I'm gonna get my hands on the Bloodborne book. All of the fantastic monsters they create over at From Software never cease to amaze. I'm a sucker for the more morose gothic themed artwork, not sure why tho. I would consider myself a cheerful kind of guy.