For me, my reprints of the three original D&D books and Chainmail (the c. 1978 white box; I don't have the originals) are probably the most cherished items in the collection, along with my collection of early Dragons (issue 35+). That and my copy of City-State of the Invincible Overlord represent my sentimental faves from the early era.
For later/non-D&D stuff, there's my collections of Alarums and Excursions, The Wild Hunt, and Rogues' Gallery fanzines, as well as my early Dungeon run and Adventurers' Clubs, my sporadic issues of Different Worlds and Space Gamer, and my copies of the died-much-too-soon Interactive Fantasy.
Then there's my "obscure but cool" Hero System stuff: Lands of Mystery, Justice Inc., Mythic Greece, Strike Force, and a couple copies of Wings of the Valkyrie stashed away somewhere.
Rob Heinsoo was kind enough to autograph a copy of FRCS for me, which I should file away for safekeeping, but the book's been way too damn useful.
Then there's a buncha stuff I wrote, but that's another story. I'm proud of it, but I like my more recent (yet-to-be-published) stuff better.
Scott Bennie