The only retail games for the Xbox that I'd put on a top collectable list would be Steel Battalion, Marvel vs. Capcom 2, House of the Dead III, and the first two Fatal Frame games. The non-Platinum Hits Silent Hill 2 is getting close. I've also never seen a complete original release DDR Ultramix with the dance pad since launch. Same goes for Rainbow Six 3 with the packaged headset.
Most of the other games listed in this thread so far seem fairly easy to come by around here. Maybe it's a regional thing.