A couple Warhammer 40,000 armies ('Guard and 'Nids) - got started through getting 'Space Crusade' for Xmas one year, and then walking into a Games Workshop saying 'I really like genestealers...'
Roleplaying games (I have every edition of D&D besides 4th. Actually, scratch that, I don't have Basic or Expert D&D anymore. Got started via an after-school club. Love the concept.)
Got a bunch of assorted mini's for RPGs too. But I don't so much collect those as buy when needed. "Crap! I've written an adventure featuring Lizardfolk... and I don't have suitable miniatures..."
Used to collect semi-precious stones when I went through my Wiccan phase. Still have some odd crystals and stuff lying about. Gifted away my athame to my g\f's Dad since he said he really liked it.
Got a DVD, PC Game, Book and porn CD collection, but do those count?