This is an interesting one.
I never really wanted one until recently. I had officially made a fursona back in Sept 2013 with the help of my "owner". I put that in air quotes because she's not the typical definition of owner. I am more like her awesome friend and hang out when she asks. Anyway, I told her that I wanted a collar to simply have a fur-ccessory
I have made ears that fit a hoodie and currently working on a tail(that I now need to redesign) and then I wanted a collar to go with. Since I was going to be traveling to Oklahoma in a few weeks, I decided to wait and go with her to get one. We went to a local pet shop and picked out this big ass linked-metal chain. It's more like a chain than a collar, but I chose its size for the reason of wearing it with a fursuit that would have a large neck later on. Also, I wear a tie to work sometimes and I can't stand wearing one as it makes me feel like I am choking. I even tug at it from time to time during the day. I wouldn't sleep in it due to that reason. A small amount of people die each year from strangling themselves with their own bed sheets. I highly doubt I'd do that, but no reason to add to the fray.
I wear it out in public under my shirt. It sticks out above my shirt behind my neck, but I have long hair that goes to between my shoulder blades effectively blocking it from view. IF you were paying attention while looking at me or looked at me from a slight angle you might see it on the sides of my neck just before it goes under my shirt.
Recently, I changed Eon from a Wolf to a Red Panda so it's kind of ODD, but i still wear it from time to time.