Collecting the books and DVD's is one thing. Some folks go as far as collecting all the Weta workshop statues ( I wish to God I could afford those) and the side show collection.
There's all sorts of gadgets and Swords, bookends, and costumes to boot. I would suggest having a goal. For me it was to have all of the works hard cover. I still have to get the history of Middle Earth in hard cover but besides that I'm set.
Each collection is in its own way unique. Not everyone will have the same items. Unless your that guy in New Zealand who has it all. Peter Jackson. lol
But have fun with it, spend on budget and remember to always keep an eye out. Those damn Orc's are everywhere.