Most non-ammunition items that have a sell value of 0 are quest items. However, each henchperson has a quest for each chapter (I assume, only in chapter 2). If you're only doing the quest for one of them, you'll find five excess items. Plus, there may be other quests you aren't eligible to do, because of your class, and you may still stumble onto some of those items. Just find a container near your portal and store things your unsure of there.
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