Help... Christmas present for new son!  

I know you have the best...
I know you have the best intentions, but I don't think it's a great idea to start a collection for another person. Collecting is an intensely personal thing (and of course some people simply don't like to collect anything at all). It sounds like you really want to collect vintage toys for yourselves, as you share a love of vintage stuff -- so do it for yourselves, and if Henry falls in love with the collection when he is older, pass it on to him. But don't be disappointed if he'd rather collect something else, or nothing at all.

How about
a donation every year in his name to Heifer International?
It won't take up space in his closet, it won't need to be dusted and treated with kid gloves (Original boxes? Seriously?), it won't be hard to relate to like toys from his Dad's childhood might be, it WILL remind him that he's part of a worldwide community... And by the time he's old enough to read the thank-you cards, he'll see that his gifts have made a real difference.
Plus it's tax-deductible.
http://www.heifer.org/

Collecting
I agree with Gene collecting is a personal thing also when he ups and leaves for Unversity the collection will remain with you and if things stay as they are housing wise he will not want to take a collection into a rented house and again they will stay with you for safekeeping.
There is also the possibility he may not like what you have collected and something you and your wife have spent alot of time and consideration on may be unwanted. Think of what you had as a child if it was the start of a collection then go for it keep it a tradition.
I know these responses are probably not what you where after if I where you I would collect something that you are happy with and hope they feel the same way.

I agree with Gene,
starting a collection for your child is a little like considering career choices for your child-- a somewhat-wrongheaded exercise in futility.
If, for example, you did choose to start the collection of Matchbox cars (in original boxes); at what age would he be allowed to play with them? Would they actually be HIS to do with as he pleases-- crashing them against one another, drawing on them, squashing the boxes, treating them as any little boy would be inclined to treat toy cars? Or, would they be a look-but-don't-touch shrine that serves as a constant source of frustration for the poor kid, representing zero fun? Sounds like an exercise guaranteed
to make him HATE Matchbox cars, if anything.
Same goes for collectible robots, or anything else.
PS > Hope I don't sound like a sourpuss, just attempting to look at it from a kid's perspective. Congrats on your new son Henry (love his name!).

The answer is....
Chanel Bearbrick.

Start a collection
of Iitala Toikka Finnish-made glass birds. Now THAT would make a nifty present, and if you bought one for each of his birthday's you'll have quite a collection.
http://www.finnstyle.com/toikka-2010-birds-iittala.html

Glass birds.
That obscure object of a little boy's desire--

Parents sometime
start buying yearly items that are not kid friendly. As your son grows up, he'll have a cool collection of those beautiful glass birds to look at...and you too.
It was just a suggestion. Instead, you could start a Nerf collection!

I would like to second,...
I would like to second, third, fourth, and fifth a donation every year in his name to Heifer International. Children by nature are very self centered. This is a great way to teach Henry about different cultures, about compassion and generosity.

woodywood - great suggestion
Mohan,
I like the vintage Matchbox. A place setting a year (eight years) of Elsa Peretti Padova sterling silver flatware for Tiffany & Company and then all the serving pieces (six more years) is my choice. This is something great to eat with and a wonderful set to have as a young man. Let the others be altruistic with their money. This is about your child not the worlds problems.

My gift giving
Mohan,
I do not have any children, but this year a two and four year old I know are going to each receive the Charles and Ray Eames, Eames® Elephant for Vitra, the Romain Hippolyte, Le Petit Cuisinier gourmand 3 piece boy set for Raynaud, and the Steiff Teddy Bear Pirate Fynn in Suitcase. They will probably like the boxes and the parents (limited means) will appreciate the gifts.
Political and social statements in the name of children is as phoney as it gets. Should you choose to support the less fortunate please help the ones in your own country.

Wow
Ark, I actually agree with you.

will wonders never cease
woodywood,
I can hardy believe my eyes. Thank you.

A "political and social statement"?
I suggested Heifer because they work in very poor countries, so small donations -- the size that a young man might be able to make for himself once he's old enough -- have a bigger impact than they would here. Also, the donations are used for the sorts of things that even a young child can understand: birds that lay eggs, cows to provide milk, seeds, etc.
Everyone should do his charitable giving where he wants. If you want to add your little drop to the huge bucket that's already available in this country, go for it. But don't dismiss the good work that's done by the people who donate to organizations like Heifer as a "phoney political and social statement".
P.S. The Tiffany silverware thing was hilarious. Thanks for the laugh.