One early solid state game that I currently have I bought from someone who said they won it in a radio station raffle back in the 80s.
I don't think any of my other games I've owned have really had any interesting history that I'm aware of. Some do have various stickers/tags/labels from arcades/locations/operators, tax stickers, or had business cards or stickers from previous techs or repair shops.
A number of years back, I did make attempts to buy the broken pins from my local arcade that I grew up playing, but someone else from Connecticut managed to swoop in and snag them all. I was a bit disappointed about that.