Like a couple of others...
...I have every single movie stub from every single movie I've seen since '94; some are so faded, that you can barely tell what flick they're from. I even have stubs from the theatres in foreign countries!
That said, I don't really collect anything. When you're habitually on the road, it's advisable to not have a lot stuff weighing you down. The largest group, is my library of about a thousand titles on various subjects. A lot of fiction, and a lot of non-fiction for my supplemental work.
For the Conan enthusiasts, check out this journal,
The Cimmerian. The publisher is claiming that he's going to destroy all back stock, so you may want to get in while the gettin' is good. You can also find a fine essay here,
The Dark Barbarian.
I seem to have a lot of public transit tickets from various countries, too...