If you have any marigolds and/or zinnias, they are some of the easiest seeds to save and start in the spring.
First to the zinnias: They look great, bright, and stand out in your garden. But as they grow older, the petals lose their color, and you're left with a brown mound.
|Zinnia: colorful, very dry, and drying|
|Zinnia seed head|
|Zinnia seed heads|
In the spring, they will be nice and dry - you will be able to take that seed head and twist it, and all the seeds will detach. (But be careful: in the center of that pile of seeds is a very pointed and sharp receptacle that the seeds are attached to. Wear gloves.)
The marigolds are even simpler. They usually last longer into the fall, and the bright yellow and orange color is a favorite of mine. In this first picture, you see lots of yellow and orange petals, but to the right, you can see one dried brown seed head. As the flower fades, it wrinkles and browns, and it will actually do all the work for you.
|Marigolds in various stages|
This next picture shows you what you are looking for: good, dry seed heads. The one on the right is still yellow, and has a a lot of moisture in it. The one in the center is ready for you to pick.
The seed pods will snap off easily when they are dry. As they get dryer, some will shatter when you touch them, and the seeds will be propelled away (its own way of seeding itself). The seed pods in the center of this picture are very near that point.
|Dried and waiting for you|
Lastly, marigold seed heads will also help you out if you let them. When they have dried out and are ready to seed themselves, they will often bend over, so the seeds can just drop and be spread.
|Bent seed head trying to seed itself|
I collect the seed pods, lay them out on newspaper for a couple days, and then store in paper bags until spring, hung up in the garage. You can literally crumble a handful of these in your palm and then spread the seed in the spring.
So store a few for next spring and try it out. It doesn't take much time, or space, and you'll be happy when those little seeds start sprouting in the spring.
PS Wet seeds will mold and rot, so the dryer the better. You can actually take a fully-in-bloom zinnia or marigold and dry it well and get the seeds out, but letting them mature to the dry and brittle stage will help with germination.