Yeah, I don't know what other teams do...I've been in a fair amount of arenas, stadiums, and the like and I can't really think of any local team hall of fame other than Monument Park.
The Buffalo Sports Hall of Fame is in the Arena (next to the Sabres Store) and it would be nice to have an accessible Sabres HoF. I don't think that I would pay to see it, though. It seems like the sort of thing that I would spend about ten minutes looking at.