I've come to face this just recently. Another collector wanted a Ren SS. It took me a while to get him at a decent price, but what this other collector offered was too good to pass up. It'd be difficult for me to give up certain hard to find items in my collection, but truely everything has a price. I'll trade my black Zarana or both Jinx or my Starscream Skystriker, but I'm not going to trade Zarana for a 25th Viper either.
As for a piece I won't part with? Hmmm....customs aside, I'd say maybe my Marines and SEALs and Mutt & Junkyard. Simply because those characters were the reason I got back into collecting.