I did a page on the collector's edition on my other site, Zelda 64 World, so you'll expect me to cut-and-paste that, right? Wrong.
The Collector's Edition of Zelda has 4 Games on it: the original Legend of Zelda, Zelda 2: The Adventure of Link, Ocarina of Time, and Majora's Mask (yey!). It also has a demo and a video clip of Wind Waker. And it has a thing where it shows clips from all the Zelda games known to man. Or woman. It says that there may be "sound irregularities" in MM, but I haven't noticed anything.
You can get the disc by buying a GameCube, registering 2 GC games, or subscribing to Nintendo Power.
It's worth it to buy the disc, even if you have all the games. What kind of Zelda fan would be without it...?