I only saw the first two discs of the Collector's Edition and I already saw two hidden features.
Go to "Scene selections" and at the last chapter click the arrow to go down and it apears a ring in the left side. Click and you will see at the first disc, Elijah Wood in a comic interview conducted by Dominic Monaghan.
The second disc brings a interview with Peter Jackson where the interviewrs ask him about a sequel of the Lord of the Rings Trilogy. One of the interviewrs is Ben Stiller.
Reviews: DVD Talk also has a review of
Return of the King - Collectors Edition by Holly E. Ordway.