At the end of the garden season I like to go around and collect seeds for next year from my community garden neighbors and share my own. Right before the frost there's usually tons of marigold, cilantro, dill, basil, and various flower seeds ready to be harvested. Sometimes there's good seeds in abandoned plots and paths if you know what you're looking for.
I don't always know what I'm looking for. When I collected the seed head above I thought it was dill. A few months later when I finally got around to organizing my seeds I noticed that they didn't smell right. They smelled a bit like licorice and tasted like a lot like licorice when I tentatively chewed one. (please don't just go around chewing on mystery seeds) So maybe it is fennel. We'll know for sure when I grow them out this spring.
Here's another fun mystery seed. By the look of the seeds, I think it is something in the allium family (onions, garlic, chives, etc) but I don't know which. It could also be an ornamental allium - the seed head is quite pretty.
When collecting I use a big sheet of paper to catch the seeds when I tap them out of the head. The paper helps me see clearly so I can separate the seeds from the chaff if I'm feeling picky. A little chaff won't hurt your seeds, it just looks sloppy. Then I use the paper to funnel the seeds into an envelope or baggie.