Here's a partial list of stuff I can't help collecting. By "can't help," I mean that whenever I find these things for free, I have to keep them, no matter how many I already have in my possession.
Key rings/ball chains
Tire valve covers (I can usually find these near the air machines at gas stations)
Coins (US and foreign) and old arcade tokens
Paper coin wrappers (especially ones from defunct banks)
Milk crates (best modular storage/shelving units ever.)
Pens (especially advertising ones)
CD and DVD cases
Coke Rewards codes (technically I only keep these long enough to enter them)
Matchbooks (Remember the days when smoking wasn't banned everywhere and companies used these for advertising?)
Lighters (I used to collect the metal tabs off of the disposable ones and crimp them to my car's sun visors - stopped doing that when they started rusting)
Books (Usually can't find these for free, but sometimes I'll get lucky. The ones I have no interest in reading go straight to Goodwill, though)
Sheets of paper with one blank side (I use these as printer paper 'cause I'm cheap. I can honestly say I don't hate junk mail because of this.)
Most recent score - found a copy of Metallica's "...And Justice For All" in its case! Scratched up, but doesn't skip!