Buy stuff and live with it for a while and you'll work out what is best for you...
This is pretty good advice. Defining what a collectable is is always going to be partly subjective and figuring out what 'you should look at for collecting' is something only you can know.
I'm also an infant in this hobby compared to most on here so I don't have much insight into the individual companies. I only developed an interest a year or so ago and initially focused on statues, busts, PFs, etc because I liked the museum style appeal of the larger static pieces. I only had a dozen or so but I started to have concerns over space limitations and portability so I thought I'd look at Hot Toys as an alternative. Just fairly recently I picked up my first figure and was impressed with the detail that they manage to capture, especially given the smaller scale. Given that, I bought a couple more and have since decided to mainly stick to the Hot Toys or 1/6 figures in general because they'll suit me better in the long run. They'll still allow me to enjoy the characters I like while not being as much of a burden on shelf space (and storage space if you keep the boxes).
Sure, they feel toy-like compared to their polystone counterparts and do look dwarfed when sitting next to larger scale pieces but I still enjoy having them displayed on a shelf and would definitely still consider them collectables. Whether you consider them so would depend, as a-dev said, on how you define collectable - and quality. I'd suggest that one common aspect of each definition would be longevity. And, although I'm only new to this, I'd hazard a guess that for the most part just about any piece is going to outlast your ownership if properly looked after.
...I don't really know what you mean when you say Hot Toys figures feel very much like toys and not so much collectibles... they're toy collectibles. Or collectible toys...
Also a very good point. Toy and collectable are certainly not mutually exclusive. While Hot
Toys make action figures I'm not inclined to take my DX Jack Sparrow down to the beach and re-enact scenes from the movie. And by the same token I have little doubt that there are people who have collected, and maintained in mint condition, the very same figurines or die-cast cars that I played with (and destroyed) in the backyard when I was little.
If, for you, appreciation in value is a measure of how collectable something is or is going to be then I reckon that has more to do with future availability, popularity of the licence and appeal of the individual piece rather than the actual manufacturer. Each company will have its ups and downs. There will always be points of contention in quality from piece to piece. Even as overall quality increases collectors will undoubtedly become more discerning or particular and start to call out manufacturers on shortcomings that may have gone unnoticed in times gone by.
As I said, I'm only new myself but I would think that just about each and every company spoken about on this or similar boards would have any number of followers who consider them to be 'producing high quality work'. Again, it's just going to come down to what you yourself are looking for in your collectables.
You mentioned you only try to buy your 'absolute favourites' which I assume means you have certain characters or lines to which you're drawn. And if that's what you primarily want to display or collect then that's also going to, at times, limit you to the companies that have access to or focus on those licences. As suggested, the 'Show your Shelves!' section is a great resource for having a browse of what's around but obviously you can also check out each 'Collectibles' section and see what's currently being discussed in there regarding that particular genre.
EDIT: Whoa, that was a long post
Sorry about that.