I've never recorded sound effects regularly. On occasion, though, I'll want something specific or just hear a neat sound that I want to capture or replicate. My favorite sound to record is thunder, although it often doesn't turn out quite the way I would like it.
We were camping one weekend when a thunderstorm hit. I recorded the thunder and lightning on my cellphone. When I got home I uploaded it to my computer. It turned out great. I had tried this at home during a storm one time but kept picking up noise from cars driving by.