For many people it seems to be multiple reasons.
For me first and foremost, it's absolutly a creative thing.
I always wanted to be an animator, and love characters and personalities, and have loved monsters since I was a child. Usually the things I MUST have are quirkly awesome characters that tickle my imagination, or ones that are beautiful like little pieces of art. Also, since I got tendonitis and couldn't draw as much, my collecting took off like
FIRE.
Secondly, I'm a big adrenaline freak, and LOVE the thrill and excitement of the hunt. I would say a larger part of the collection isn't about the having and showing, as much as the excitment of hunting. I often call it urban Safari Hunting. Hunting is as old as man himself. Only we hunt things that aren't alive (they're not, are they?).
It is also very much like a gambling addiction, no lie.
I get a complete high euphoria, and mental shakes if I haven't done it in awhile (keeps me off drugs....for the moment
).
Thirdly, it's very much an extension of fandom. Loving a medium, type of genre (horror, videogame characters, some movies, etc), and the extension of wanting to own a little piece of that, which you can look at and be reminded of something you love. I'm also addicted highly to DVD buying/collecting.
Lastly for me has to do with the childhood. We were always really strapped for cash, so I didn't get very many new toys. Also I didn't get to choose my toys. I would have much rather had Star Wars figures, or boy toy action figures, but my parents always got me stinky Barbies. So now that I can do for myself, I go a little hog wild.
Also of importance, it's just a real perk-me-up in what can be a harsh and cruel world in the adult life. So anytime you find something you enjoy that picks you up out of the blues (and isn't illegal), go for it!
I think that's all.