I love looking through concept art, though there's usually something which makes me say "Damn, why didn't they put that in the game?"
In Metroid Prime 2, there is this awesome concept picture of what looked like a final boss of some sort, with a person surrounded by scrap metal in a vaguely human shape with a huge cannon on one arm, and it was grabbing at the tiles on the ground and pulling them up, revealing fire from underneath. From the comparison to the little doodle of Samus, it was also going to be gigantic.
Which only made it even more annoying that the actual final boss wasn't nearly as epic. The early concepts for Dark Samus looked a lot better too.
I have an affinity for light sketchy drawings, too, so I almost always find the concept art more appealing and expressive than the actual clean, boring models.
I don't believe I have posted in this thread yet, actually, so I should say that I want to be a character designer and this kind of stuff is the perfect inspiration.
Are there any other games that have character designs as good as this?