When choosing containers for storing seeds you collect from your garden's plants, go for ones that will keep the seeds dry. Dryness is the key to successful seed storage. You should also be able to easily mark the containers with the name of the seed, the date you collected it and any other pertinent information you want to note.
Given the above, paper is a great choice of material for seed-storage containers. Kristin Green, author of Plantiful and an avid seed saver, recommends using coin envelopes, which come in a range of sizes and can be found in various colors, too. They're readily available at craft and office-supply stores.
Seed envelopes can be improvised, too. I use tea packets and bank envelopes, reinforcing the seams of the former with tape. There are patterns for folding newsprint into envelopes for seeds. Here's one at homegrown.org.
Paper is best, but other materials can be used to successfully protect seeds in storage. If you choose glass, metal or plastic jars, boxes, canisters or bags, just be certain that they are completely dry inside when you add the seeds, and seal them tightly.