A suitcase with a lock in the closet (to dodge a nosey child)
We use a small chest of drawers for ours. This lets you keep things organised and also helps store dress up clothes and shoes, we also sit a makeup box on top. This allows us to quickly find what we are looking for as we do have a large collection.
My collection is quite small so I currently just have them in a carrier bag under my bed. My OH has the same for the stuff that I have at his too.
I really like the idea of LH making a fancy lockable box to store them in. I would totally invest 100%!!!
We have plastic boxes with clip lids which slide under the bed, and toys are in LH bags