I would say "all of the above".
I haven't been buying much lately because of the crisis and everything, but my attitude is different than, say, ten years ago. Nowadays I would put my efforts into real gems, either rare or somehow important to me. Back then I would buy the first thing with "Bon Jovi" written on it that would get in my sight. No matter what it was, official or not, crap or not. The thing I regret the most was buying a shitload of unofficial XL t-shirts I was never able to wear from eBay. It was much easier back then, because every single buck in my pocket would be spent on Bon Jovi, while of course now it's different.

Anyway... I often daydream about being rich. I would do plenty of things and then, well, I would buy the shit out of every collector website, get every single import, every single rarity, every single edition, every single promo... and of course go to every single concert. Yep, I'm that kind of freak. Unfortunately, that reflects only partially on my actual collection, which I'm still very proud of and which of course is kept separate and protected from everything else. By the way, friends and relatives make fun of me because I always use latex gloves to handle my Bon Jovi stuff. I'm sure I'm not the only one out there? Can you all raise a hand?
As for priorities, I don't really have one. There are a few items I'm very glad I have or I totally long to have, but it's more about how I like them individually than about them being a vinyl rather than a CD, for example. Of course, sometimes rareness plays a big factor in my desire for a certain item.

Warning. Boring not detailed list follows:
Got all the Bon Jovi, Jon and Richie CD albums (most of which in two or more editions) apart from "Tokyo Road" (planning to fix this ASAP, as well as I need to buy David's albums), some CDs (singles, bootlegs, promos), some vinyls and picture discs (albums, singles, promos and even a bootleg!), all the official DVDs, several DVD bootlegs, some MCs (albums and some recorded show from the radio), some of the official box sets, I think I have all of the official VHS tapes, most of Jon's movies either on DVD or VHS (gotta work on that), all of my concert tickets, some tour programs, merchandise of all sorts, quite a shitload of books, even a bigger shitload of magazine cuts (I used to organize them all in binders, decorate them, etc., I absolutely need to pick it up again), guitar tabs, flags, a great number of posters, several official and unofficial calendars, some postcards and stuff like that, wearables of all kinds, a couple of cardboard promotional stands, Jon and Richie dolls... LOL
I also used to download anything and everything from the web and I have a kazillion CDs full of live shows, interviews, what have you... Too bad the quality for streams back then was much lower than it is now, but hey, I feel like they're my cute little gems. As somebody's already mentioned, part of the fun is or was the challenge.

I've probably left out some stuff, but this should give you the picture. If this thread gets somewhere, I might share some more details. But the point is I'm a freak collector who will never get enough of anything. It's like bad medicine!