The Encyclopedia of Collectibles was an 16 volume set dedicated to collectible items and their values. It is a good idea to do something like this, but the market on collectibles varies so much from area to area and day-to-day that I doubt there is much utility in these anymore. Ironically, though, the books themselves are now collectible as a Time-Life series from the 70's with a relatively small print run. Gotta get 'em all!
Volume 16 includes a comprehensive index, though since the items are in alphabetical order I wonder if it's really necessary.