The following information is about TSR only, but they were by no means the only early producers. Flying Buffalo released lots of roleplaying products (mostly Tunnels & Trolls), and Game Designers Workshop (GDW) produced the first major Science Fiction RPG (Traveller).
The value of products released in (and related to) the first decade of roleplaying -- roughly 1972 to 1982 -- has been steadily rising. TSR didn't produce character sheets or modules initially, so those (mostly by Wee Warriors) have gained considerably. TSR's first sheets can bring 5 $US per blank sheet as of this writing. Some early TSR modules (such as Tsojconth, Inverness, and Tamoachan) were produced in limited quantities and sold at conventions (often in Michigan), and can easily bring 500-1500 $US.
Roots material, defined as anything leading up to Original D&D, can have astounding value. Most notable in this line is the newsletter "Domesday Book", produced by the Lake Geneva (WI) Castle & Crusade society, and very few copies have appeared. The sole known copy of issue #2 (one page front/back) sold for 18,000 $US in 2008.
Playtest copies & related notes have significant value, especially those related to the first AD&D hardbacks. Also, British creations got started quite early, as OD&D arrived by 1974, and early newsletters & unauthorized adventure modules from the 1970s can bring dozens or hundreds of dollars.
The big shift in RPG collecting came in 1983, when TSR revised their image and settled on fixed module formats. From that point onward it is very difficult to identify specific printings, and print runs were far larger than previously, effectively negating collectability.
If you want to resell your old D&D materials, be sure to examine them closely to find their printing and rarity. Collectors commonly see two extremes: items priced far above, and super-rares priced far below, their current market values. The best guide for this information is at Acaeum.com. Do your homework before reselling. :)
-- GenCon auctioneer, 1982-present