Though I haven't played any of the Warhammer 40k games that Fantasy Flight produce, I have been rather impressed with the recent collectors editions of both Deathwatch and Black Crusade that have been released.
I would LOVE to see Warhammer Fantasy RP get a similar treatment somewhere down the line.
Since the game is more component heavy than the 40k games, I would foresee a Fantasy Roleplay collectors set probably being broken down into two items...a nice thick full color hardcover tome, possibly in a nice decorative slipcase like the 40k versions, that would collect all the core rules in a single volume. To supplement the hardcover, a gorgeous collectors edition Vault that would combine all the necessary play aids and components in a single box. This box would be much bigger than a standard Vault (player, gm, creature), but smaller than the core box, and probably cast is a sturdy resin like the 40k collectors covers. The components themselves could even get a facelift, with glass and metal tokens, card dividers for organizing all the action/talent cards, a full set of dice (maybe cast in wood or metal), and maybe even a full color fold out map of the Empire?
One can dream.
What would you like to see in such a release if it were to happen?