Mary Poppins (but mine doesn't have that house thing someone mentioned...oh well)
Gypsy (LuPone)
Spamalot
Evita (touring production with Kathy Voytko)
Curtains (not that the program was anything extra-special, but b/c mine is signed by pretty much the entire principal cast and looks so nice in its frame with the poster...ahh...I loved that show.)
The one I'm surprised to see on people's lists is Wicked. I bought one when I saw the touring cast, and in retrospect, while the pictures are very nice, I'm a little ticked for paying $20 for nothing but giant pictures of the original cast. I like some words in my programs (hence my love for my Gypsy and Evita ones).
-- SDG