I think I play The Elder Scrolls IV: Oblivion and Fallout 3 a little... weird.
Firstly, I collect all unique or 'named' items in the game. All of them, without question. I arrange them in my house as a sort of musuem of the oddities of the world - I refer to this as "the collection". I also have one set of each type of armour, one of each type of weapon, etc. It is essentially a catalogue of every single item created within the game.
Secondly, in Oblivion I don't sell any Magic Items. I keep them all and transport them all to Frost Crag Spire for storage. At last count, I have well over 9,000 magical items stored. In Fallout 3, I collect all Nuka Cola Bottles and items. Regardless of where it is, I get it and bring it back to my house.
Thirdly, I don't use storage containers. All of my items are stored out in the open, so my vast collection is visible at all times.
Forthly, I never 'fast travel' or 'wait' - I walk everywhere, never walk away from a fight, and transport any items I've collected to my storage location the old fashioned way; manually transporting them on foot.
Fifthly, I maintain a strict "weight to value" ratio rule on looting. In Oblivion, this leads me to killing bandits and steal their shoes - which have the best ratio in the game. This also ensures I have more than enough money at any point in the game for anything.
Lastly, I clear every dungeon, cave, shrine, bunker, building, camp, etc., in the game. I leave no stone unturned. For Oblivion, this meant manipulating the Oblivion Gate Encounters by wondering around the environment to get them to spawn. There are 100 Oblivion Gates that will spawn over time through the game world, including all story related ones. I've cleared them all, and collected everything from them.
One final note: I've completed a full collection for each game three full times. From scratch.