I bought the theatrical and extended versions of each of the LOTR movies, but I did so knowing the releases would come out like that from the beginning. It was widely known before the first DVD even came out. The boxed sets of the complete trilogy were obviously coming, too, but I already had everything I wanted by then, so it didn't matter to me.
The first collector's edition of a game I ever bought was Warcraft III. I consider it a mixed bag. The art book was nice, but smaller than I'd hoped. The soundtrack CD would have been nice if the soundtrack itself hadn't turned out to be absolutely horrid. The DVD is kind of neat since it also has the cutscenes from the earlier Warcraft games on it. Overall, though, if I had to do it again, I wouldn't buy the collector's edition. Because of that, the only other collector's edition I've bought was for Empire at War, and only because the cheaper version wasn't available anywhere. Talk about a ripoff. It has a screensaver and a couple desktop backgrounds, and a handful of extra maps. Oh, and the box the game came in is all shiny and holographic or something.
So, yeah, I'm pretty turned off of collector's editions.