I have a collection of the Edebel set, still need like two more. Also, Mini backwings, Ciel/Rosamund items, weapons, rig pets (the kitten star ones has to be my favorite), face item mods, eyes mods, Mad hatter set, background items, and I have a big collection of SDPlus dolls, although, I don't collect them much anymore since it is expensive nowadays (wish it wasn't so).
Yes, I do find it annoying I can't complete it. It is an unhealthy obsession for me to complete it. It doesn't help that I also collect in real life. /shrugs
I get the item collections because I do like them. Right now, I am going towards The Spirits Reign and The Spirits Within items since they are from one of my favorite female video game characters.