I have a few bits and pieces like big-box PC versions of Planescape Torment and Baldur's Gate 2, a ton of early Xbox 360 memorabilia (although none of those faceplates, I chucked them like everyone else which is why they are so valuable now) and tons of CE versions. I have an in-tact Bioshock big-daddy and the Bioshock 2 vinyl, a gold lancer, etc. Some sought-after retro stuff (but nothing really 'rare') like FF7 original, Shenmue 1 and 2, some Shin Megami Tensei stuff (including Devil Summoner 2 in box with Raihou plush)
I also have a ton of Kickstarter stuff, big box versions of all the RPGs that are coming/have come (Shadowrun Returns, Wasteland 2, Pillars of Eternity, Torment: Tides of Numanera) and all the extra gubbins I get with my $1000 version of Wasteland 2.
But probably the rarest thing overall would be (and I didn't know it was rare until I tried to source a replacement for my battered version) a Duke Nukem poster I got in an old magazine a long long time ago, afaik it came from CVG magazine, it features both the PS1 and N64 versions on the back, and a giant version of the boxart on front.