H.I.V.E. Series: Wing wears half of a yin/yang symbol around his neck, and his mother had the other half. He knows she wasn't wearing it when she died, and assumes that whoever murdered her has the second amulet. Turns out it was just Nero, to whom she sent it a few days before her death so that the two halves would remain separated. Neither of them know that they each contain half of Overlord's source code.
Will Parry (His Dark Materials) grew up hearing tales about his brave father, the explorer, and was told by his mother that he would grow up to "take on his father's mantle." He does this quite literally. (However, it's not made explicit how long he keeps or wears the mantle itself.)
From the Deryni books: Sidana's wedding ring. Kelson wears it on his little finger until he gives it to Rothana (as an unofficial betrothal ring) before leaving on his quest. When Rothana learns Kelson and Dhugal are missing, she throws it into the palace moat. After his return, Kelson has it retrieved. A few years later, when he decides to propose to Araxie, he melts it down and gives the gold to Bishop Arilan, asking him to have a new ring made for her.
In Harry Potter and the Deathly Hallows, when Harry leaves the Dursleys' house for good and discards most of his possessions, he keeps with him the fake Horcrux that Dumbledore had all but died helping him retrieve from the cave. This is also an example of the hero not keeping the keepsake; instead, Harry gives it to Kreacher, an act that results in the house-elf that had loathed Harry and his friends becoming one of his most loyal allies. This of course being because the locket is a tragic keepsake for Kreacher of someone else entirely.
In False Memory by Dean Koontz, Dr. Ahriman has his father's eyes in a jar. Not as a reminder of some past wrong, however, but rather because he killed his father and stole his father's eyes in an attempt to understand his own inability to cry and subsequent fetish for tears.
In the Discworld series, there is a troll watchman named Detritus who is very slow as his silicon brain works slower in higher temps. His specially made cooling-helmet has a fan to help cool his mind and was given to him by the Dwarf Cuddy who died a short time after giving Detritus the present.
In The Hardy Boys Casefiles, Joe's girlfriend Iola is killed by a car bomb meant for them in the very first chapter of the very first book. Throughout the rest of the series, he's occasionally seen wearing the melted keys she was holding around his neck.
Legacy of the Dragokin: Lydia carries around a teddy bear scorched from the fire that burned her home down because her mother died retrieving it.
In Mockingjay the pearl Peeta gave her serves as this for Katniss.
In the Belgariad prequel Polgara the Sorceress, Polgara keeps a hairbrush used by one of her friends, who was killed as an indirect result of her interference in Arendish politics.
In Sweet Silver Blues, Garrett identifies where Denny Tate kept his secret papers because they're wrapped in a cavalry horse blanket, which he knew Denny valued as a reminder of his military service and of friends who hadn't made it home. Averted by Garrett himself, who dropped his seabag in the harbor the day he left the Marines, not wanting to retain any reminders of a pointless war with which he'd grown utterly disgusted.
Garrett does play this one straight in and after Old Tin Sorrows, with the portrait of Eleanor.
Early on, Cardinal Wolsey relates an amusing rumor that one of his many rings confers immortality and says if he knew which, he'd have a replica made for his favorite, Thomas Cromwell. Just before his exile, he gives Thomas a box with instructions not to open it until Wolsey dies—this happens a few months later in an implied Death by Despair when Henry VIII accuses him of treason. Cromwell finds the box contains Wolsey's turquoise ring. He wears it on his index finger from then on.
In a grisly example, Cromwell permits Thomas More's daughter to take his head from its spike and later hears the rumors that she carries it around and prays to it.
Cromwell keeps the costume angel wings that his daughter Grace wore in the hopes that his household might one day have another little girl to wear them, though it seems increasingly unlikely as time goes on. When the closet they're kept in is used as a psychological torture chamber for Mark Smeaton (one of the men accused of adultery with Anne Boleyn), Cromwell decides he will have to burn them.
Zilpha Keatley Snyder loves this. In Season of Ponies, Pamela spends the summer with an otherworldly friend and his herd of ponies; at summer's end he does But Now I Must Go and gives her a ring braided from their manes "to remember them by". When Harry runs out of the magic ointment he used to grow wings in Black and Blue Magic, he gets one last luminous feather, which he keeps forever in a box. The Changeling begins with a box full of keepsakes, which Martha has kept locked, hidden and forgotten for so long that retrieving them puts her into an altered state.
In Bernard Cromwell's The Warlord Chronicles, a retelling of Arthurian legend, narrator Derfel does this. After his daughter Diane is brutally murdered, he gives her a funeral pyre - but keeps one lock of her golden hair, which he wraps around the hilt of his sword as a promise that he will avenge her. Once he achieves this goal, he burns the hair too, allowing her to finally pass on to the afterlife in their tradition.