I have a few choice items I like, although nothing hugely valuable or old. Stuff like that is beyond my meagre budget and seldom makes its way up north. And I didn't really get into collecting gaming products.
Ghosts of Dragonspear is a nice piece. A modern rarity. Had to get a friend of a friend to get it for me from GenCon though. Worth it.
I got a couple 4e updates of old modules from the RPGA. (I miss running games for Living Greyhawk, ended up with some neat stuff.)
Someone else has mentioned Ptolus. Great product I'm glad I purchased. An amazing product. Someday I should run a campaign there. The book deserves it. Easily the most complete and comprehensive RPG product I've seen and amazing writing and production values. THE read if you're planning on designing a campaign setting product, if only from a layout perspective.
I'm a HUGE Ravenloft fan, so I have pretty much every 'Loft product printed (and a couple not printed, such as the unreleased
Van Richten's Guide to the Mists, printed at my local Staples.)
Which led to me getting this bad boy:
Oh, and the 3PP Tarokka deck from 3e. Pricey on eBay now. This might be the object that's increased in value the most.
Getting into Pathfinder I have a few more choice pieces. I found a copy of the Beta playtest on my honeymoon in Paris, back when they were still new. Kept it in good condition and had it signed by a few key staff.
Got one of the original Tome of Horrors Complete books. Damn good book.
The Kickstarter copy of Emerald Spire. Which I took to GenCon and got signed by *most* of the writers (missing three).
The coolest thing I own (next to Ptolus) is the Paizo.com exclusive Rise of the Runelords book. Because it's just damn cool.

Giant tome like case for the book with working clasp, handouts in the book, cloth ribbon, copies of the covers, and a solid adventure to boot.