These items aren't specifically Odyssey² collectibles, but they're related enough to be of interest.
Odyssey²-Shaped Pirate Atari 2600 Games
South American pirate Atari 2600 cartridges come in all shapes and sizes, including a rarely seen variation that resembles an Odyssey² cartridge. The one pictured is a Brazilian pirate of the Activision game Keystone Kapers.
Dynasound Game Keeper
Dynasound, like many companies in the '80s, made generic storage units that could hold game cartridges for various game systems. Since the Atari 2600 was the most popular system, most storage unit manufacturers tended to emphasize how their units were perfect for storing 2600 carts. The box for the Game Keeper is somewhat unusual in that it pictures an Odyssey² cartridge next to the unit in addition to the expected Atari carts.
Vintage Odyssey² High Score Sheets
Every now and then, inside an Odyssey² lot, you'll find a sheet of paper containing high scores that people recorded back in the day. So many years later, these can be looked at as historical documents of a sort. They are a tangible link to the time when Odyssey² was a current system and chasing high scores the order of the day! The sheet pictured came in an Odyssey² lot along with an original sales receipt for Bowling/Basketball and K.C.'s Krazy Chase, dated 12/11/1982. Most of the entries on the paper are from those two games (along with Speedway and Spin-Out), so it seems likely the scores were recorded in December 1982 as well. This family had a lot of fun that Christmas!
Power Lords Collectibles
Before Odyssey² made them infamous, Power Lords: The Extra-Terrestrial Warriors were originally action figures, released by Revell Toys (a subsidiary of Strongin/Mayem Int'l) sometime around 1982. The figures were at least moderately popular, and comic books, video games, and even a Saturday morning cartoon show were planned to be based on their adventures.
The heroic figures were treated to a three-issue miniseries by DC Comics in 1983. Despite its age, the three-issue set isn't difficult to find today – but they're not worth much so comics shops may not bother to stock them. In one edition of the Overstreet Comics Price Guide, each comic had a worth of 80 cents, making them the absolute least valuable comics in the entire guide! Nevertheless, you might be interested in locating them because of their association with Odyssey²'s most collectible game (issue #3 contains an ad for it).
Other Power Lords collectibles include action figures, puzzles, and board games. These and the comics show up from time to time on eBay, if you're into that kind of thing.