Age of Conan and Warhammer Online both had 'em, and even expansion packs get 'em in Wrath of the Lich King's case.
Sometimes they just come with fancy boxes and art work or soundtrack CDs, while other times they come with in-game bonuses like free mounts. Sometimes they even let you play the game earlier. But they're awfully pricey -- what do you think, are they worth it? Have you bought Collector's Editions before, or do you plan to? Or are you perfectly happy forgoing the frills and just getting the basic box?