There are a lot of people who collect things in game. Pets and mounts are often favorites, although there are often other items that people covet. People still charge into Black Temple hoping that they'll get the elusive Warglaive that will complete their set. Some have been farming Molten Core since release looking for a binding to drop. Recipes are also sought-after. Dirge's Kickin' Chimaerok Chops remains the only epic cooking recipe in the game, and now limited edition copies have been seen selling on the AH for upwards of 20k; something tells me it's not for the 25 stamina well fed buff.
I collect shields. My main is a protection paladin, and I have a bag in my bank devoted to the shields that got me through my raiding career in style and safety. While my collection is not as extensive as Blockade's, who got a shield named after him during this tier, I do have 15 shields ranging from the Aegis of the Scarlet Commander, to Akmin-Kurai, Dominion's Shield. I only add a shield to my collection if I actually used it for an extended duration, so each shield has memories of dragons and liches held at bay in instances, from taking the Royal Crest of Lordaeron into Naxxramas, facing down Algalon with The Boreal Guard, striking down the Lich King with Neverending Winter, to stepping to Cataclysm raiding with the Elementium Earthguard. When a shield has done well for me, I don't cast it aside to some vendor when a superior shield is coughed up by a boss; I set it in a place of honor. I collect shields -- and more so than that, I collect memories.
What do you collect? Or do you hold only onto those things you need at this moment?