It doesn’t have to be fancy or expensive, but make sure it’s something you enjoy. You can collect cards if you want, but you don’t have to just because it’s what other people are collecting.
I collect foreign language dictionaries and phrase books. I think they’re adorable and fun and I love having them.
Oh! And you should also make sure to collect something along your travels, as a memento of all the places you’ve seen. I regret that I did not begin this practice earlier, but I’ve started to make sure that I at least get a cool pen from everywhere I go (most places have them, oddly enough). It’s cheap and travels easily.