Most desirable is an interesting question. Everyone is wired differently as to why they desire certain things. If your desire is to obtain the hardest rounds to find due to rarity, that is an admirable task. Equally admirable is obtaining a whole family of a rare type, such as Dave's magnificent display of Russian APFSDS-T projectiles in a current post:
http://www.bocn.co.uk/vbforum/threads/98860-БM-APFSDS-darts-and-projectiles
Something like that requires resources, contacts, education, experience, and tenacity to say the least. Like yourself, I started out with U.S. Artillery type Ordnance because I have been a shooter my whole life, and because U.S. material is more plentiful in the U.S. After seeing photos of other collectors' collections, my tastes broadened and went in multiple directions. Now, I'm fascinated and attracted to what I call Higher Technology rounds, HEAT, Chemical, Biological, Gun fired missiles, GPS and Laser Guided, etc., But I digress.
Over my 40 years of collecting, I've observed the rarest U.S. Army rounds from WWII to the 60's to be:
1. The pre-42 yellow HE projectiles, all sizes, Mk. II grenade to 240mm H.
2. The chemical/chemical energy projectiles like HEAT,WP, H-Gas, Nerve agent, incapacitating, etc. both Gun and Howitzer
3. The larger AAA rounds, 75mm Skysweeper, 105mm, 120mm (easiest of the 3) and WWI 75mm and 76mm/3 inch shrapnel that carried over.
4. The HVAP tungsten core Tank/Antitank projectiles 76mm, 90mm.
5. The Rocket-Assisted HE howitzer projos 105mm, 155mm, 8 inch, 115mm USMC.
6. Flechette projos, 90mmRR, 90mmG both types, 105mmG,105mmH, 106mm, 152mm, 105H Canister.
7. The AP-Capped HE Tank/Antitank projos, 57mm, 3inch/76mm, 90mm, 155mm, 14 inch, 16 inch 57mm Nose fuzed HE.
8. Low production rounds like the 120mm USMC tank rounds, Walker Bulldog.
9. HEP-T (UK HESH) 75mm, 76mm, 90mm, 105mm, 106mm, 165mm
10. The submunition projectiles, 105mm, 155mm, 8 inch.
11. The current 120mm combustible case rounds
12. The HE nose-fuzed projectiles, 37mm, 40mm, 57mm, 75mm, 76mm/3 inch, 90mm, 105mm, 155mm, 8 inch, 240mm, 14 inch, 16 inch.
13. AP-SHOT-T projos, 37mm, 57mm, 75mm, 76mm, 90mm.
Not listed above are the Nuke Trainers, XM and Test numbered, proof, which are a crap shoot to find.
So, there you have my observations of rarity and to me desirability more or less. No Navy material listed. That's a whole different world.