My big one that I am going to finish hopefully in a few years are all the main Final Fantasy games released on a Sony device. I just imported Final Fantasy 3 for the PSP from Japan for $52 and it was worth it. I only have Final Fantasy I,II,III,IV,V,VI,VII,VIII,X,XI,&XII but will buy the rest of them one day.
Well I don't collect for Final Fantasy anymore, let alone any other series. The only one I am willing to fork over some coin for is Shenmue. Already have the super limited edition of 3 ordered and will definitely pick up any new official Shenmue merch if Sega releases some.
And no, I'm not talking about any fan made stuff like those Figure 4 Figures.