Hmm. Weird fan-type things my players have done...
-Since I'm the only regular DM in our circle of friends, almost all of my games have had "waiting lists" as I limit players to five or six and end up turning people away.
-Some of my regular players have specific binders for my campaigns to keep everything having to do with former characters (though this is probably due to the fact that I keep switching games and claiming we'll pick them up again, when in fact we don't). I know a lot of players have character collections, but I'm still getting a warm, fuzzy feeling from this.

A quick aside- whereas players tend to keep their old PCs in carefully organized binders, my old PCs (what few I have) tend to be scattered around my room, underneath stacks of books, etc. Is this a player/DM difference, or am I just a slob?
-A friend of mine has done tons of artwork (good, artwork too- check it out:
http://www.geocities.com/whimsickle_art/ ). Four or five of the portraits are PCs from my last game. He had to do a showing recently to get his degree, so they were all hanging up in an actually gallery for a couple of weeks. People that I didn't know where coming up to me at the show and talking to me about stuff that had happened to the characters in the game- which, at the time, was kind of weird. I never actually got introduced to any of these people, mind you (artist friends are like that, so what can you do...). But for someone who can't draw a straight line, it was nice to catch some second-hand admiration.
That's the most recent stuff I can think of. There's also weird fan things that happen whenever we run LARPs at conventions, like people driving eight or more hours to play for the weekend. But really, that's a whole different ball game...