I mainly go for the art book and behind the scenes shizzle when I buy any collector edition for a game.
I hope they'll do a strategy guide though. There's something about those for me. I can't put a finger on it, but it's something. I have the old bradygames one for Diablo 2. It's all worn around the edges, and been opened and closed so many times that it's almost falling apart. It's not because there's vital information in there, but it's just always nice to have around (and a good read at the toilet :P).
But in that regard I'd love if they would add a small notebook or something like that. Just with blank pages that you could use to write any notes down on. I always have a small notebook lying next to me when playing Diablo 2, to quickly scratch down any items or runes I have gotten/need to get, or such.
So a small notebook, say designed like a Tome of Identify, with a bunch of blank pages would be sweet for me :P
And a little plastic figure of Cain with a little sensor that makes him go "stay a while and listen" all the time :P
Or a soulstone. Just a little plastic stone with a small light inside it, would be sweet :P
Man they could put a lot of shizzle in that Collector's edition really. There ain't that much merchandise for the Diablo franchise really, when compared to Warcraft. Hope they do something about that :P