There's not much in the way of SUPER valuable or rare to collect for Borderlands, of that I can assure you. But w/ BL2 on horizon and success of of BL1, things are slowly coming now. I too am a complete NUT for everything Borderlands, and I feel I have as much as I could find for the series.
There are a few promotional items in Poland, like stickers and Character cards, there is the GOTY guide (which by the way is one of the most beautiful hardcover guides I've ever seen), there is the GOTY game, the standard game and standard guide. There are several t-shirts, a mug, 3 different posters (limited to 250 each, signed, one of them being more rare now - the claptrap one), there was a Borderlands shoulder bag (w/ embroidered logo), a sweater, and just released are two action figures: A claptrap and a psycho bandit. Most of these things can be found on Gearbox store below. I have all of this stuff except action figures (because I do not collect any action figures for any game).
Then there is the Gearbox store:
http://shop.gearboxsoftware.com/borderlands/