I have two, the black Millennium boxed edition and a three volume hardback set.

But then my Dad has a one-volume hardback (without most of the appendices), my brother has a one-volume paperback (with full appendices) and the TS Library has 2 complete sets and two other Fellowships. (We tend to use the Library three volume paperback set for reading copies as they are the smallest and lightest.)

I also have two Hobbits and three Silmarillions (curse Ted Nasmith and his new illustrations :-D).