For every conceivable collection, someone has written a "definitive" price guide. Glassware, toys, CDs and DVDs, tools, you name it, a price guide exists.
Many price guides exist online, particularly for collectibles with a seeming infinite variety of items. Baseball cards are a good example, with thousands and thousands of new issues being released every year. No print volume could possible catalog every card released in a single year, let alone and in 100+ years of the hobby. Online price guides can provide the most comprehensive array of pieces for a given hobby, but they can be hard to search unless you are looking for only a couple specific prices. Pricing a collection can take an enormous amount of time.
Other price guides are printed in hard copy available through retail outlets or mail order. Some, such as Overstreet's Comic Book Price Guide, have long histories of reliable reporting on a hobby. Print price guides have the benefit of being more easily scanned and more useful for the beginner trying to learn more about their hobby.
Most price guides are built from the reports of retailers over the past year or more of the prices they obtained from their sales to collectors. Price guides reflect the real world supply of and demand for a product. Whether through auction houses, online bidding sites, or retail stores, guide authors collect sales information to create a database that informs the collector.
Price guides can be invaluable sources of information. However, price guides are almost always a poor tool for estimating the value of your own collection. Here is the straight dope on price guides.
Timeliness - Price guides are always somewhat out of date. In more volatile hobbies, this can mean that the reported prices do not actually reflect current supply and demand for a product.
Relative vs. Absolute - Few prices guides can provide you with absolute retail values for your collectibles that are both current and relevant for your area. Many price guides, however, can provide excellent ideas of the relative value of specific items. If, for instance, you have one vinyl record that lists for $40 and another than lists for $10, then you can be reasonably sure that the former is worth at least four times the latter.
Least Common Denominator - One serious flaw of nearly every price guide is the notion that every item available for hobbyists has value. Even the best price guides have minimum values for literally every piece covered. Unfortunately, this can give you a terrible overestimate of the value of your collection. For example, there are baseball cards, records, and comic books that have absolutely no resale value whatsoever. Perhaps they were overproduced, have small if any demand, or are simply poor products. Regardless, take note of the lowest prices reported in a guide and you can often guess that those comics listed at $3 are actually unsellable.
Variant Mania - Then there are some price guides that simply tell you too much. Discogs is a fabulous online resource for music records, CDs, cassettes, etc. Many listings, however, have hundreds of variations differentiated by what are differences that the average collector could not care less about. Your safest bet is to assume you do not have the ultra rare, one-of-a-kind item because it is, well, ultra-rare.