If you have a lot of CPUs, search eBay for CPU trays. I don't know if there are any available at the moment, but they have come up before. I bought a stack of those trays and keep almost all my CPUs in them. Very safe and compact.
I have 2 types of trays, most of them are the type that holds older PGA styles including socket-7, socket-370, and Athlons. The other is a different style designed for mPGA478, but I've also stuck LGA775 in them (they slide around though).
I think my early Socket-4 Pentiums fit the PGA trays but I don't remember for certain. I don't remember if the K8 chips fit either - they might fit the mPGA478 trays but I have mine in those OEM plastic clamshells.
The Pentium Pro definitely don't fit. I have mine in a small box, I think with antistatic foam.
Slot CPUs are stored a bit haphazardly, but they're almost as indestructible as heatsinks.
I have too many motherboards. I try to store them vertically in a box, most of them in static shielding bags. Their size makes them more vulnerable to strain from bending.
General expansion cards - kind of a mess.
Video cards are less of a mess, but too many for the box I have them in. Most are in static shielding bags. A few are in their own boxes if I consider them more valuable.
My most valued sound cards are in a luxuriously sized box with a lot of padding, because these things are like gold and somewhat failure prone IMO. I worry about them.
My most valued hard drives are in a 5-drive foam shipping container. The rest are piled up together in a drawer that's lined with bubble wrap.
Note that static shielding bags are not the same as antistatic bags. Antistatic bags are those pink bags which don't generate static, but they don't shield against it either. The metallic bags will shield against static passing through. Use those on the things you value the most, and pay attention to the physical condition of the bag - beaten up ones don't work as well.
I think a lot of people don't realize the pink bags don't shield. It's funny how many sellers I've come across who use the cheaper pink bags, surround them with static-generating generic bubble wrap, and attach warning labels about ESD safety.