This is a good post on harvesting seeds.
I usually harvest carrot seeds and sometimes onion seeds. I haven't tried planting onions from seed yet, but I know it works because the onion seed pods that I leave on the stalks spread their seeds around and I have tiny onions in odd places in the spring. The carrots are good for that also. This is the first year in the last 4 that I actually planted carrots in the garden, they've been self planting for the past 4 or 5 years, but they're all over the garden where they get disturbed when I plant other crops.
I also harvested a bunch of seed pods from the hollyhock flower stalks that somehow appeared in my yard this year. I suspect the hollyhocks will still be all over the garden next year due to the seed pods that were still green when I harvested the dried ones. I still need to harvest some of the marigold seeds for next year also.