There are many park-only items sold at Walt Disney World. For example, many of the rides have themed t-shirts that can only be purchased at that attraction. However, if you're thinking of starting a collection, two specific items come immediately to mind: pins and Vinylmations.
Disney pins are available at mall-based Disney stores, but there are hundreds of site-specific pins that can only be found at Disney World or Disneyland. Most of the pins cost between $6 and $12 and there is an entire sub-culture of pin-trading that goes on at WDW. (Or you can just buy and keep the pins. My girls can never bear to part with theirs.) You can read more about pins and pin trading
HERE and
HERE and on the excellent Wikipedia article called Disney Pin Trading. If you're looking for specific ideas, you could start with collecting pins featuring your favorite character, you favorite rides, or the hotels you've stayed at.
My own obsession is collecting Disney Vinylmation figures. The official Disney webpage about Vinylmation is
HERE. You can also get great info at vinylnation.net and vinylmationstation.com. Basically these are 3-inch figures (priced at about $10 each) shaped like Mickey but decorated by amazing artists in other ways: cute bugs, urban robots, Disney parks attractions, or even Muppets. The Vinyls come in sets that collectors try to complete. There are also more expensive 9-inch figures that really serious collectors pursue. There are even blank Vinyls that you can decorate yourself -- "customs." I've made a Moms Panel Custom that's on the vinylnation website (custom #73). This was a great family project I completed with my daughters. Take a look at the websites I mentioned and it's hard not to get hooked on these charming creatures.