I see you changed your post to reflect future potential collections for Skyrim. As such I have moved this thread back to Skyrim General after a brief stay in Oblivion General.
Personally I had a habit of collecting skulls in both Morrowind and Oblivion. I recall putting them on display all over the place.
Next to that I was also a fan of collecting filled Grand Soul Gems in Morrowind (my Dagoth collection was my pride and joy). Sadly, in Oblivion you could no longer see the name of the creature stored in the gem, so it lost its charm in Oblivion to collect filled soul gems