I happen to like extras DVDs or "Making of..." content (figurines are nice too). I only get CEs of games I would like to have the extra content for. I have the two Mass Effect games as collector's editions, and while there were no big items of note (like my Resistance 2's figurine, FO3's Bobblehead, or even Alan Wake's case that looks like a book) they both had hardbound art books and bonus DVDs.
I try to stay away from "Legendary" editions because of the ridiculous price tag and often shoddy extras (Halo 3's infamous "cat helmet"). The only one that had ever tempted me was the Call of Duty game that game with the working night vision goggles, but I still didn't bite.
I too have Fallout: New Vegas CE on pre-order mostly because I have FO3 CE, and I like to collect sets. I suppose I can give my opinion on that shortly as well.