I used to collect them..... but had to stop when I lost my job, and only source of income.
I brought them from Kinokuniya (Japanese bookstore in Sydney) and most of my artbooks are Clamp ones. I've got North Side and South Side as well as Tokyo Babylon, CCS and Chobits... but my favourites, and the two I think are the best would be:
Lost Angel and Angel Cage by Kaori Yuki.
They are mostly filled with Angel Sanctuary art, but there's so original misc artwork in them too.
North Side and South Side by Clamp are very good... since it combines alot of their differents series into one book.
But the mother of all Artbooks that I'd love to own would be X Zero.
It's a thick hard cover artbook with artwork from X in it. It's drool worthy, yet the cheapest I've seen it anywhere was $80 X_X
Another artbook I'd love to own would be the Haibane Renmei one.
Again, I had a look at it in the store... and the quality of the images and the whole thing is devine... again, it's another expensive one too.