Anything DOA I collect, but I stay away from their new trend in more recent years to really push the mouse pads.
I think those are a waste of valuable space. Collecting Dead or Alive stuff is expensive, and getting the more tasteful stuff that looks official is even more expensive.
As far as my collection goes I have all of the games in every region, almost all of the gashapon, the Kasumi blue xbox set, DOA 3 and 4 arcade sticks, an original DOA2 Dreamcast Ein shirt, all of the strategy guides, and almost all of the sound tracks.
If I would want something at this point it would be a DOA lore book complete with everything DOA.
Another thing that would be cool is a complete DOA5 record book with all of the tournament outcomes and whatnot.