Catalogues don't show up too often, unfortunately. I've seen a few Capitol Hi-"Q" reels pop up on occasion, though. 78s are very plentiful, I have about a literal half a ton. You may also find some old library software on some of the pre-internet CD releases.
What to collect, other than that? Whatever you feel like, really. Many of us collect digital files, too, for instance - heh. And knowledge!
Personally, I try to collect various pieces of library memorabilia - wherever they may show up. I have a few pieces of Italian sheet music from C.A.M. and Ariete, two cue sheets from the BBC archives, an old Italian composer catalogue, pamphlets from Cinedelic's reissue of the Ayna Records LPs - and a surely Jean-Pierre Decerf and Bernard Fèvre-approved miniKorg-700
I some library LPs were accompanied by letters addressed to the people who ordered them, or with general info about upcoming releases and such. These are cool little artifacts one can try to collect, too.