Whoa, excellent question (but a good one to mull over during my free time here at work).
As for sentimental value, I'd probably have to say that I treasure my concert photos more than anything. The bootlegs (audio and video) of the shows I attended aren't far behind, but the photos document MY experiences, so they're quite important to me. I was personally handed a setlist for the June 12, 2001 show (my second show), so that ranks up there as well. A red guitar pick (Bono's) from the same night *sounds* coolest of all, but I was lucky to have found it on the ground in the heart, so it doesn't hold the same value with me.
As for collectible value... hmm. I have a couple of promotional items from the Best of 1980-1990 release, including a set of dogtags and a promo VHS. Those are pretty cool. If I'm looking at monetary value, though, I guess it would have to be my 12" Three vinyl (later repress in red-orange CBS sleeve) or my Filipino pressing of the Boy vinyl. Or maybe my French 7" pressing of Two Hearts, though it's without a sleeve. (Anyone have an extra one?)