Although I'm not a gun collector, I make it a point to keep the box and all original paperwork whenever I purchase a new firearm. It's something I wish I had always done, not because I plan to sell any of them, but because I believe it helps them keep their nostalgia value, if not their true value for family who may own them after you're dead and gone. Also, the graphics on many firearm boxes can be very attractive.
How cool would it be to have the box that came with that old shotgun your grandfather bought 60 years ago, the one with branding and logos the manufacturer stopped using 40 years ago. Or what about the box that came with your first deer rifle that you got for Christmas when you were a kid.