I dabble a little in the game used market (modern), I enjoy owning something that once belonged to a player.
I would say that the glove would be the most valuable and wanted item from a player. As others have said, gloves are personal and players often use them for years and are very protective of them.
Then I would place these in order of jerseys, bats, batting helmets, batting gloves, cleats, jackets and finally hats.
In my opinion the value of each would depend on the era and who used each item. I'd rather own a Ted Williams bat than a jersey or glove. But for the record, I would be proud to own any of them!
Ted's bat to me is more personal and related to him. Where as an Ozzie Smith glove may be worth the most because he is really known for his fielding. But then you got someone like the Babe where as ANYTHING of his is super valuable.
I guess there is no right or wrong answers, just difference of opinions and what each collector values the most.