Interesting one! I do like my NLOTH deluxe copy with signatures of Bono and Adam upon them. I've got the quitar pick from Edge (received during the Blackout shooting).
I have some nice things, but not really high in value, mainly appreciated by myself.
a good measurement for your favourite item could be the degree of wear.. in that case it should be my first U2 shirt (white zooropa '93) that I bought in '94 I think.. it felt a bit like a superman cape
Nowadays, I don't think there are any items that make me proud or anything like that. My U2 collection now feels more like a burden