Hi, Wadim.

nikmil, in your comment an hour ago you should have put \sigma( a_n) as your curly braces just disappear. 

So one example possessing a limit is the colossally abundant numbers of Alaoglu and Erdos,   
http://en.wikipedia.org/wiki/Colossally_abundant_number 

  where the limit of the Choie, Lichiardopol, Moree and Sole's 
 $$f_1(a_n) = \frac{\sigma(a_n)}{a_n \log \log a_n}$$
 is the same
$$ e^\gamma .$$
That is, the limit for these numbers is the lim sup for all numbers.

These are more natural than people realize. There is a simple recipe that takes some $ \epsilon > 0$ and gives an explicit factorization for the best value $n_\epsilon;$ see page 7 in the Briggs pdf
"Notes on the Riemann hypothesis and abundant numbers" at the bottom of the Wikipedia entry. The exponent of a prime $p$ in the factorization of $n_\epsilon$ is
$$    \left\lfloor \log_p \left( \frac{p^{1 + \epsilon} - 1}{p^\epsilon -1} \right) \right\rfloor   - 1                           $$

The process of making a sequence of "champion" numbers this way was invented by Ramanujan.