Cars are an investment, but long term and only when done properly. Like Rob said, as so as you drive off the lot you lose 30% (unless it's an M3). Typical depreciation on a Cadillac/BMW/Benz/Audi is 50-60% in 1.5yr.
For 'collectible' cars, seems that the trend is they depreciate and bottom out in value over 20-25 years. Then, they start climbing. Finally, when they're like hen's teeth and nostalgia kicks in, they skyrocket.
IF you're going to invest, these are my general rules (if possible):
1) 2 door. 4 doors will never meet the collectibility of a 2 door. People want sporty
2) RWD. fwd was never legendary and never will be. AWD is an alternative if it was the only option (See: Syclone/Typhoon)
3) RARE. A plain Jane 65 Mustang will not be worth anything in your lifetime. Should have driven it 1 million miles instead of letting it waste away in a garage for 50 years just so you could lose money with inflation-adjusted costs. Now, the first Mustang ever produced, GT500, Daytona Coupe, ...
4) powerful. Rare doesn't mean **** if it doesn't have power. See: Aztec
5) manual Because real men drive sticks, and collectors know this even if they can't.
6) convertible This one I don't care about and would never buy a vert. But, if you have a choice between two 1966 prototype RS/SS/Z28/427 Camaros and one is a vert, take the vert. Collectors always want the vert.
When you hit niche markets, it's a crapshoot. In the meantime, buy a house.