I've been thinking about this for a while and I can't really think of a legitimate good one.  But the one's that come to the top of my head is probably the prestige edition for modern warfare 2, the helmet for Halo 3, and just recently announced for dead space 2, is the replica of the gun used in-game.  Probably the only thing that I like about collector's edition stuff is the steel book case for the game.  But barely any games do that anymore.  I really don't care for the art books or soundtracks.  But what is the best that you guys have or heard of? 
 
EDIT:  Also, post what game the item is for.  And I think the Dead Space 2 gun replica is only available for the EU.  
 
EDIT: I guess it would've been better to post pictures of these Collector's Edition's too.  So post up picks if you got them or can find them. 
 
 
 
    
That's a pretty sick gun, probably the most awesome thing I've seen or heard of for a collector's edition. 
 
  
The all popular Prestige Edition 
 
  
 And the Legendary Edition Spartan Helmet.  I don't own a 360, but I thought this thing was pretty cool when it came out.