Well, I'm no collector, but if I had a lot of loot to spend I'd think about buying first editions of tournament books:  say, Hastings 1895, St Petersburg 1914 (I assume there was a tourney book for that one), New York 1924, Nottingham 1936...I would think that would be a cool assortment to have (all the better if signed by the writer and/or participant[s] of course!).

Well, in that case...this is mainly from memory (the classics I remember)--with a few touch-ups from Wikipedia:

Lasker's Chess Manual--Emmanuel Lasker

Common Sense in Chess--Emmanuel Lasker (the first chess book I ever owned, by the way)

Staunton's Handbook--Howard Staunton

Handbook of Chess--Bilguer & von der Lasa

Basic Chess Endings--Reuben Fine

Modern Chess Strategy--Edward Lasker (I actually have a 1915 copy of this)

Morphy's Games of Chess--Jacob Lowenthal (I used to have a copy from 1859--then I had the one from 1909)

Chess Fundamentals--J R Capablanca

A Primer of Chess--J R Capablanca

Modern Chess Instructor--Wilhelm Steinitz

The Art of Chess--James Mason

The Game of Chess--Siegbert Tarrasch

That's a selection of some of the older classics (a number of them from the 19th century). Of course, if you really want to go back--to Philidor or even earlier--you might find the following link informative/helpful:

http://www.crumiller.com/chess/chess_pages/chess_books.htm