That crystal ball ring idea sounds lovely, just the kind of merchandise I like (The type where you can wear it in public without feeling like an uber nerd LOL)
And I'll also second Laszlo's mention of prop replica's. I'd love to have a replica of Jareth's mask from the ballroom scene!
And after that, hmmm...I wonder what a Jareth plushie would look like! I'd die to have one of those, it would be so cute (And it could come with different outfits!). Beyond that, I think a Labyrinth lunch box would be cool (Kinda like the plastic one made for the movie way back when, but instead made out of tin)