Feelies: The game was originally sold in two versions - standard and with a size L t-shirt with the box-art printed on it. The price difference between those two versions was almost non-existing, so those containing the t-shirt sold out pretty quick. Nowdays, the original shirts are a highly-valued collector item, especially those in mint condition (the print was high-quality, but of really low mechanical resistance).
Keep Circulating the Tapes: Not for the main game itself (which has remained readily available up to today), but there was a special bonus dungeon, called the Lost Dungeon of Souls, released separately on a different disc. Finding a copy of said disc was (and is) extremely difficult, to the point where the collective Internet completely forgot it even existed for several years. Eventually, it was re-discovered, and can now be searched for and downloaded.
Urban Legend of Zelda: There were rumours in various forums that you could somehow convince the Wheel Clan to invade Tarant.