I used to make a bee-line for shiny powerful artefacts when I first started playing Morrowind, but now I prefer to collect things that are more mundane and yet fun to search for everywhere on the island:

- Ancient dagoth brandy bottles. I haven't looked how many there are actually were of those. I managed to find 5 so far.

- The 36 Sermons of Vivec. But no stealing allowed.

- greater and lesser Dagoths's souls. I like the idea of having all of House Dagoth screaling and kicking on a shelf.

- Extravagant Sapphire Amulets. I remember playing as a vampire once, and some quest requiring you to find a number of them, and how difficult it was to get them, so now I collect them in advance even though I have no intention of turning into a vampire.

6th House bell hammers. One character gathered up around 6 of them before he got overpowered and I started over.

Another character got a pretty good start on Dagoth souls, but then went to the mainland (TR mod), and never made it back to Vvardenfell. I was slightly disappointed that I couldn't collect the whole Tribunal pantheon for use in a matching set of Daedric weapons).

How about collecting Failed Incarnates?.....oh, wait, that's already been done by some in-game character.

Ash Yam! I have started as soon as I found that speed-play with ash yam and intelogence boost and I had to try it. And also moonsugar. My two favourite things.