Here's a list of most merchandise (I'm missing a few from it to make it a complete list).
Edited - released I worded that wrong. I personally have a LONG ways to go before having everyone on the complete list. I meant that there are some things I've forgotten to add to the list to make it a complete list of all merchandise available.
http://www.lunar-net.com/mycollection.php
From that list, only the stuff with an asterisk is what I own. But to make it simplier I'll list it all. I bolded the extremely rare merchandise.
<b>The Games:</b>
Lunar The Silver Star (NA) Disc Art 1
Lunar Eternal Blue (NA)
Lunar Magic School (JP)
Lunar Silver Star Story Complete (NA) Disc Art Set 1
Lunar Silver Star Story Complete (NA) Disc Art Set 2
Lunar Eternal Blue (JP) Saturn
Lunar Eternal Blue Complete (NA)
Lunar Legend (NA)
Lunar SSSC Demo Disc
Lunar EBC Demo Disc
<b>The Merchandise</b>
<b>All the Lunar Hyper Applications</b>
Lunar I+II Artbook
Lunar Silver Star Story Newtype Artbook
<b>Eternal Blue Mega CD Flyers (more than one)</b>
<b>Six Keychains (Luna, Dark Althena, Goddess Althena, Hiro w/Ruby, Alex w/Nall, and Lucia who needs a repainting/replacement)</b>
<b>Eternal Blue GameArts Lapel Pin</b>
Four Heroes SSSC Mousepad
Punching Puppet Ghaleon
Lunar TSS WD Poster
Lunar SSSC WD Poster
Lunar EBC WD Poster
2 WD Eternal Blue Complete t-shirts
<b>Eternal Blue Mega CD Stickers (more than one)</b>
Lunar The Silver Star US Guide
Lunar Silver Star Story Complete US Guide (WD one)
Lunar Eternal Blue Complete US Guide
<b>Lunar Eternal Blue remake Saturn guide - autographed by GameArts</b>
<b>The Soundtracks</b>
I own them all save the EB mini-soundtrack included with the Japan import of the Mega CD game. There may also be a Magic School disc I'm missing I think.
<b>The Silver Star OST</b>
Lunar Songs Vol. 1
Lunar Songs Vol. 2
Lunatic Festa Vol. 1
Lunatic Festa Vol. 2
Lunatic Festa Vol. 3
Lunatic Festa Vol. 4
Lunatic Parade Vol. 1
Lunatic Parade Vol. 2
Magic School Vol. 1
Magic School Vol. 2
Eternal Blue OST (SM version, I need the original)
Eternal Blue Prelude (SM version, I need the original)
Silver Star Story Complete WD (needs replacement)
Eternal Blue Complete WD (needs replacement)
Also all of the included SSSC and EBC bonus goodies including pendant, standee's, soundtracks (albiet broken/glue-covered and need replacements), etc.