I'm also a big fan of collector's edition guides and artbooks. But way too many come out these days and are of variable quality, so it's best to focus on the best, which are produced by Future Press and Piggyback:
http://www.future-press.com/
http://www.piggyback.com/en/
Future Press Collector's Edition Guides
Bayonetta (Europe only)
Dark Souls
Deus Ex: Human Revolution
Madworld (not a Collector's Edition, but it's in Hardcover; Europe only)
Killzone 2 (Europe only)
Killzone 3 (CE is Europe only)
Portal 2 (CE is Europe only)
Resident Evil Archives (Europe only)
Tekken 5 (Europe only)
Piggyback Collector's Edition Guides
Assassin's Creed II
Assassin's Creed Brotherhood
Assassin's Creed Revelations
Final Fantasy XII (UK)
Final Fantasy XIII
Metal Gear Solid 4
Resident Evil 5
Uncharted 3