This topic probably have been up a few times, but what you collect?
Personally I collect the helmets of Ordinators when I play.
Edit: grammar.

my current character is a big mean dunmer battlemage, at the moment he's rising in house telvanni, and following the lost prophecies (mq). He loves his long swords, heavy armor, and also has a penchant for archery. As such he collects any interesting long swords, heavy armour, or bows. Aside from those, I'm collecting all the dagoths in grand soul gems, the entire collection of books (from the expansions and TR too), and all the unique quest items. Thats about it, although I may try and fine those illusive golden eggs at some point : P

Books. Especially since I've added in a mod that adds Daggerfall ones, too. Unlike Oblivion, there are tons of hard-to-find and a few single copy books out there. Beyond that, collectibles found in various mods; that's it.

Lately I've been trying to collect one of each type of weapon in the game, one of each type of armor piece, and one of every book I can find in loot.
I will then sell duplicate pieces.
I have modded some very high capacity (5000) Dwemer Cabinets and put the stuff in there.
Also collect artifacts, naturally.
I like picking up rare items like spools of thread and scissors, Dagoth Brandy, and stuff like that; and set them around in my house.

Unique souls, and especially Dagoth souls. That's absolutely number one on my list of favorite collectibles.

Also:
Artifacts and unique items
Books, and especially The 36 Lessons of Vivec
Full armor sets and interesting pieces
Anything ebony or daedric
Bug lamps
Skooma pipes
Limeware

Unique items/souls
Dwemer Coins
Gems

http://planetelderscrolls.gamespy.com/View.php?view=mods.detail&id=4709

Unique souls.

I collect the gifts that the NPC's give me for helping them, or the armor and weapons of those more notable that wanted a piece of me I wasn't willing to part with. I keep an entire room in Mormegil Manor filled with mannequins wearing the armor of such persons. Their weapons lie at their feet, and any other items that are associated, like notes, letters, or jewelry.

Like the above, I may collect the soul of some of those are are too dangerous to let slip back to Oblivion, like the powerful Dremora Lord in Tribunal.

Also, sadly, it seems I have been collecting shrines to dead companions that were either taking an arrow or magic bolt for me, or were killed while we were ambushed.

My character collects the Sixth House Amulets of all the named Dagoths she's killed. Trophies of victory, I guess.

Man this makes me want a pc that can run Morrowind and mods so much more.

I used to collect unique souls, weapons, armour etc. Unique is awesome.

Yes! Those Sixth House amulets. I first buy a large glass bowl, the largest in the game, and then every time I dispatch someone wearing them, I place them in the bowl. Disturbing thing is, grab enough of them, and it starts to look like a giant bowl of eyeballs. Brrr.

Just remembered, I collect the Slave Keys. For every slave den that I liberate, I also place those keys in one of those chests the modders placed in their homes for odds~n~ends.

When I used the mod of the Suran Home before having my character settle in Solstheim or Lokken, he used to have a room for all the treasure found from the game and the mods. Then, with the Furniture Mod, I bought a nice display case and placed Sunder, Keening, and Wraithguard in the glass case, and posted two hired guards to safeguard them. Looked really nice every time I went into that room. WIth the Chalk mod, I was able to write a title for every corner in the room in Daedric and Common, and using the MEMannequins mod, I was able to place each ethnicity specific person in the armor or clothing of the dead. If I dispatched the witches in the Ashlands, then I used the Dunmer mannequins. Waxing Umbra, I used the Orc Male mannequin and put his armor and sword on the pedestal. Stuff like that.

What am I trying to collect? Actual daedric weapons. http://www.fileden.com/files/2010/2/20/2768514/daedric_dagger.JPG...

Unique Souls...like everyone else. I also like collecting the better armor sets and placing them in order on the ground.

hackle lo leaf

Like many others I collect:

unique souls (Dagoths, and certain named/unique monsters like Old Blue Fin and the ghost in one Inn)
All 6th House stuff---amulets, ash statues, corpus meat, hammers (I store them in hy house to protect the rest of the world)
Dwemer coins.
One set of each armor
Unique weapons and armor
Expensive books
Skulls