My Megaman collection as a whole but more specifically:
The 5 PAL Megaman games. Not the best versions of the games available but these are the ones that hold the most sentimental value to me.
My Euro Gameboy releases. Pretty tough to track down on their own, not to mention finding the later releases complete with decent packaging. I've always been a fan of how well Megaman was ported to the GB.
My mint in box Japanese PC Rockman X4. Out of all the PC versions this was by far the hardest to aquire so its my most prized PC Megaman game.
Megaman 7 art cells which were used for the Megaman 7 manual.
Also my Resident Evil 5th Annivery Limited Edition set:
I'm not normally one for limited edition stuff but I really like the way this one was done.
The various Game & Watches I've managed to pick up so far, especially:
SMB, Mario's Cement Factory and DK Jr - all 3 are my joint favourite handhelds and are still really addictive.
Lastly, not that rare but all the Yakuza/Ryu Ga Gotoku games released so far. Probably my favourite new game series that Sega has made for a long time.