Pitt Rivers Musuem, Oxford, http://www.prm.ox.ac.uk/
Ashmoleon Museum, Oxford. http://www.ashmolean.org/
Horniman Museum, London. http://www.horniman.ac.uk/
Booth Museum, Brighton. http://www.brighton-hove-rpml.org.uk/Museums/boothmuseum/Pages/home.aspx
One more to add:
Magnificient Obsessions: The Artist as collector atthe Barbican until 25th May).
Heard an interview on the radio about this and it sounds quite fascinating.