What sets of major collectable items are there in Skyrim?
Just some off of the top of my head:
Skyrim Collectables:
- Dragon Priest Masks
- Stones of Barenziah
- Thieves guild special items (sold to Delvin Mallory)
- All the Daedric Artifacts
- All the dragon shouts
- Dragon Claws
Dawnguard Collectables:
- The 5 paragons
- 4 more shouts
Dragonborn Collectables:
- The Black Books
- Deathbrand Armor
- Ahzidal's Armor
- More dragon priest masks.
- 4 more shouts
- A few more dragon claws
There are Glazed Candles, which will be hard to find since they seem to be a forgotten item in the community. (Dark Brotherhood Sanctuary near Falkreath and Radiant Raiments in Solitude are two places where I have found some)
There's also Ancient Traveller's Skull, Balbus' Spoon, Michaela's Flaggon, Ysgramors Soup Spoon, Aretino Family Heirloom, and the Dancer's Flute. (A few named misc items you can find in varying locations.)
According to UESPwiki, there are 1992 ruined books in the game; you could try finding them all.