Let's see...
I used to have some Star Wars figs, but I gave them to my sister. I recently got a Force FX Saber, but I don't really plan on making it a collection.
Lego when I was a kid of course.
Also used to collect pins... like the Disney pin trading type, but not Disney ones. It did kind of spark my interest last time I was in Disney World, but to be honest I'd rather spend money on other stuff.
CDs... getting a pretty huge collection, probably a few hundred by now. I download too, but I try to buy the CD if I really like it. I like having something physical I can hold and a booklet to flip through. And I like supporting the artist, especially if they're not already multi-millionares.
Micro RC cars. This is a recent development, bought one a couple months ago and haven't really stopped.

Got 5 Terrain Titans dune buggies and one Bit Char-G, the Initial D set. Bit Char-G 350Z on the way, along with some parts & upgrades.
And while I don't really consider it a collection, I do spend quite a bit on clothing. I like to think of myself as somewhat stylish. I also have some weird obsession with coats and jackets, I've got at least 10. Fall is my favorite time of year, partly because there are always lots of cool new jackets for sale.
Oh and button/pins....usually the cheap 1" type that some music artists have for swag. And most of mine are for bands, but some are just cool designs or things I like. I have ones with the TF faction symbols, a couple made by local artists, I have some MJ & Beatles ones, and a Barack Obama one.

I usually put them on my backpack or jacket pocket.
I also buy most of the Final Fantasy games, and other good RPGs.
I think I have a problem with collecting things.