My favourite things are actually Richie related, rather than band related.

The official promo CD for the San Diego 91 show
One Light Burning promo CD complete with Promo Pen Light
Undiscovered Soul / Hard Times press pack complete with Zippo lighter.

Bandwise I think I would have to say all the promo items I picked up at the Nokia Theatre show in 2005 - Plectrums, Stickers, pack of Mints, all sorts of things, along with a signed copy of the album.