"Holy Grail" stuff I won't bother listing, simply because there would be too much stuff I don't know about but would like (protos & dev units etc), plus actually acquiring anything like that myself would be too cost prohibitive now anyway. I don't think I could justify it. Other stuff (retail) that's easier to find (hardware in particular) just has ridiculous prices atm anyway, so meh
But, I can list some promos which are pretty much retail but recently I've started collecting (if I see them cheap).
PS3 versions in particular are kinda cool imo as a lot have slim CD type case with cover slip (PS2 can be the same but less of these out there still have cover slip). Yeah, they're retail games but different looking physically.
These ones I'll list I haven't found cheap enough yet and the prices sellers (usually) put on them are delusional imo
Fallout 3 - PS3/Xbox 360
Fallout New Vegas - PS3/Xbox 360
The Elder Scrolls IV Oblivion - PS3/Xbox 360
The Elder Scrolls V Skyrim - PS3/Xbox 360
Bioshock - PS3
Metro 2033 - Xbox 360
There are some other titles I'm on the lookout for as well, but these are the top bunch on my list right now.