The collected work of any mathematician is, in my opinion, more than collection of his works. Since it is edited (collected) by some people which have passed through many papers of the mathematician, the collected work contains important summary about the work of the mathematician. For example, consider the famous "Feit-Thomson theorem"-groups of odd order are solvable. This was actually conjectured by Burnside with so-much work; he proved it for groups of (odd) order up to 40,000. This I found in the Collected work of William Burnside (see this, first two para on page 4).
The collected work that I was searching for was of Group Theorists. I found only two: Philip Hall and William Burnside. In the google - search for collected works, I was getting collected works of non-mathematicians, by mismatching the names of mathematicians.
It would be better if any one can inform about those mathematicians (Group Theorists) whose collected work has been published.