I haven't ever really gotten any collector's editions, so my fave doesn't exactly have a whole lot of competition.
Fave:
Fable 3 - Didn't cost much more than the regular edition, it came with a book casing, playing cards that had some of the characters on them, a moral choice coin, several bits of DLC, and exclusive box art.
Could have been better:
Mass Effect 3 - Cost $20 or so extra for an itty bitty art book, miniature first issue of the Omega comic, some exclusive DLC, the day one DLC, and a steel case. Oh yeah, there was a soundtrack, but it was a digital download only, and they made it almost impossible to get the code for it.
Mostly crap:
Perfect Dark Zero - While the steel case + slip case and prequel comic were nice, the second disk of bonus content consisted of a X-Box dashboard wallpaper, some gamerpics maybe, a chapter of the novel Initial Vector (awesome book, but an on-disk chapter of a book is a bit lame), and a song from the club level that you could only listen to on that disk. Oh yeah, you also got a random bit of shiny cardboard that I have no idea what it's supposed to mean.
Then again, I got it for free so I don't care too much.
Can't really remember:
Call of Duty: Modern Warfare 2 - Ok, so there was a pair of NVGs, Soap's head, a steel case, and... a big box for it all? It had to come with more, right?