As shown above, ephemera certainly does have value. Everyone knows someone who collects sports cards, but did you know there are collectors of sports card wrappers? Yup, there are many collectors of throw-aways. Old menu inserts, bubble gum wrappers etc. There is a massive number of kitchen food container collectors such as empty cereal boxes, spice containers etc. Though most people associate ephemera with paper, by definition, it can be anything that was meant to be thrown away. The major advantage of collecting this type of item is cost. Instead of paying $300-$3000 for a mint 1979/80 Wayne Gretzky Topp's rookie card, you can buy a full roll of 1979/80 Topps unused wrappers (91 in total) of about $280. Believe me, these are far rarer that the Gretzky card.
So, if you want to start collecting but are unsure of what, think outside the box. Unless of course you want to collect the box.