Apart from NIN of course.
Mine used to be NIN, then I moved on to Tool. Now my primary collecting concerns are all to do with Danzig, and to a smaller capacity the Sacrifice era of Gary Numan's work.
http://www.ryan-s.org/danzig/
I also collect anything to do with William Peter Blatty and his films/novels. They're my two primary eBay searches.
What about you? It can range from stamps to dildos.