Usually, the prints I purchase are editions of 500 or 600. Pieces called "Artist Proofs" are also available from most artists. An artist's proof is defined a little differently by different artists.
In general, a small percentage of the final prints are run off the printing presses, and the artist inspects each of them for flaws, necessary color changes, or design changes. Usually, the number of artist's proofs are limited to 10% of the final production run. So if there are 500 of the final print, there will be 50 (usually unnumbered) artist's proofs.
They sell for a slightly higher price because they are even more limited than the final print. Depending on the artist, the proofs are either saved or destroyed. That means that from one artist, you may get a print with some slight differences from the final print.
With another artist, the artist proofs will be the first from the batch of the final product. Artist Proof prints are usually marked "A/P" instead of the typical numbering system 405/500 (print #405 of a production run of 500).
If you want to talk about limited edition collectables, these have to be it.