The highlights of my collection aren't rare or expensive, they're just things I really dig or which have sentimental value.
Off the top of my head:
original (95) Essential Guide to Characters -- my very first EU book. I guess I can blame the EGTC for putting me into this whole mess.

POTF2 Boba Fett -- I'm not even a big fan of Boba, but he was my first SW action figure.
POTF2 Death Star Escape Playset -- it's not that big or frankly exciting, but I found it on clearance some years back and bought it on a whim. It's a neat enough little piece, for what it is. I think the reason it appeals is because I didn't even know it existed till I found it, so it had some thrill of discovery associated with it.
Shadows of the Empire Dash Rendar and Boussh Leia, because they're cool, because of nostalgia, and because they ended up being pretty uncommon.
EU Concept Speeder Bike -- the only thing I have from the short-lived POTF2 EU attempt.
MicroMachines and Action Fleet -- much nostalgic attachment, in particular the Shuttle Tydirium which was the first one I got.
And actually, all of my POTF2 and EpI figures, due to increasing nostalgia as years go by.
TPM Scout Tank -- another piece I didn't even know existed until I bought it on a whim. A nifty sorta-EU variant on the AAT.
All my Clone Wars stuff -- toys, posters, books, comics.
StarWarsShop.com exclusive ROTS logo shirt -- this thing roXX. I love it.
Holo Yoda -- the only remotely rare exclusive I own. Plus I scored him at Midnight Madness. *gloats and rubs everyone's nose in it*

AT-RT -- it's a cool toy, I dig every type of walker, it's the first ROTS toy I got besides Holo Yoda, and I got it at Midnight Madness.
Various EU books I've had signed by the authors
A NJO baseball cap I got at a book signing (Jim Luceno for The Unifying Force) by answering a trivia question. I got Mr. Luceno to sign it, and I hope to get Troy Denning, Matt Stover, and Aaron Allston to sign at C3.