Collectors also value artist's proofs because they are unique images. Prints are generally sold as limited editions, with a print being cheaper than a drawing or painting because the artist/gallery makes more money by selling multiples. An artist's proof has special value because of its uniqueness and its possible differences from the "standard" print, factors that are often reflected in its price.
Since printmaking is a very technical area compared to other mediums, many artists choose to work with print shops, rather than develop the expertise themselves. The print shop provides technicians skilled in the process; the artist provides the art. It's customary in these cases to pay the technicians with a signed artist's proof, in addition to his wages. This has resulted in some very impressive collections of prints owned by printmakers themselves, built over a long career working with a wide variety of artists.