Cool? Probably not, but I have a sizeable collection of coaster and park mugs. My son took my button collection, so I don't have it anymore. I still have my old ACE vest with patches, but as they are getting harder to find, I haven't been able to keep it up very well.
Boyfriend (Dutchman) collects double old-fashioned [or other; he has some hurricanes and a couple beers] glasses, with plans to set up a bar eventually when we get a bigger house.
My favorite collection, though, is my collection of Christmas tree ornaments -- I have one WILD Christmas tree! If the park doesn't have an ornament (WoF didn't have one this year, I noticed, although there were two new ones at Kennywood [Thunderbolt and carousel] and an SOB ornament at PKI), I get a keychain or something and try to make one. Some pieces I have like that are rather creative . . .