These are all really great ideas - I think the thing I look at the most from my old horses are the pictures. I do have some tail hair and some shoes from one of my old horses, but I really don't do anything with those. They just sit in my basement. I do wish I had more pictures of my mare that I sold, but I was young and it was before camera phones, etc., so I just don't have all that many pictures of her.
One thing I will put out there is that I am really glad I saved my old blankets from my prior horses. For whatever reason, every horse I have ever owned has worn a 78 blanket. My current horse wears one of my old horse's retro looking Triple Crown stable blankets sometimes (navy with gray trim - I'm sure people remember them). The blanket is in great shape, and instead of feeling sad when I put it on my current horse, it brings me happy memories of my old horse wearing the same blanket (I also have pictures of my old horse in the blanket).