Damn it, that was my answer.
Except I want the more general ‘women a collection of all types’.
Art. Specifically, comics from the 1960s on. Also, commercial artwork, paintings and drawings, from the 1950s to 1970s, just before things started being replaced by photography and then Photoshop. And I’d keep in in my restored Mid-centrury Modern bank building.
Watches. I’d collect watches, but expect I’d probably get kinda tired of them after having spent $200,000 or so. A man really doesn’t need that many watches.
Old maps. They are super expensive but at least you can decorate your house with them. Unfortunately, a million bucks will only get you a middling collection.
Assuming I had to spend the money on collecting “collectables” (i.e., not buying investments, etc), I would spend my million on:
Classic (70s, 80s) arcade machines.
Much of the money would go to, of course, the most awesome arcade room to be found in any home on the planet. I would also need to take a chunk and figure out how to pay my record-setting electric bills as well.
I already have ten times as much art work than I have room for, so I’d use the money to buy a gallery to display/sell them.
Pretty much Comic books and CDs, I’d indulge my inner child like crazy. (-_-)
Classical music. CD/DVD/downloads.
Vintage guitars and first edition books. Which I already collect - but I would have more dry powder to fire when I found a good deal and I could afford a few of the biggies that feel permanently out of my grasp right now…
Vintage synthesizers! I could fill a garage with them and make strange music at odd hours. Hopefully (though doubtfully) I would have some of my million dollars left to deal with the noise inquiries.
Exotic reptiles and amphibians.
Legos and bento boxes.
Polaroid cameras. I have a small start now.
Postcards and photos from exotic places I’ve visited
Stock certificates 
passport stamps… but I’d have to go get them myself.
Books. And photos and video sequences of wildlife at sewage treatment plants. The most obvious wildlife are usually the water birds that are attracted to the tertiary ponds.
Would you even be able to by one egg for a million? I thought even one was worth millions?
I would spend it all on armour, especially the 17th century type. I’d buy some of these and definitely a bunch of authentic Savoyard helmets. And some of those krazy face-mask visor tilting helmets like these.
Hello kitty items - I LOVE Hello kitty!
Clowns. I used to own roughly 5,000 when I had to sell them. So like others have said, I’d buy more and build a museum to display them.