With the collectible finder, all locations of collectibles will be pin-pointed on your map - you can then just use the GPS to get to each of them. Till you unlock the collectible finder though, it's best if you invest your time to complete other activites and challenges.
The collectibles in the game are of four kinds -
Audio Logs - 39
Clusters - 1255
Zinyak Statues - 36
Text Adventure Pieces - 8
The best way to collect them (apart from clsuters which are 1255 in total) are to open the map after you have unlocked the collectible finder and mark them with the GPS with a right click -
Then it takes you to fly there and get the item.
The Audio Logs reveal important thoughts of your Homies, these thoughts are not only relevant to the present game but also the history of the characters. The Audio Logs are not exclusive to your homies, but also their greatest enemies like Cyrus.
The Audio Logs look like audio waves in the air -
Now you definitely need these to power-up your super powers and you need all 1255 to fully power-up to the level of Super-Saint.
To collect clusters, just go to a neighbour hood with a lot of clusters and start jumping and collecting them. If you don't want to get bored then just collect 50 clusters every time before a main mission.
Now, you need to destroy these...
They can be anywhere from inside a Zin Planet to the very top of a skyscraper.
Text Adventure Pieces
They look like small computers from 20 years past. Collecting all of them is supposed to reveal the history of the Zin.
Great to do, fantastic to complete, the challenges give you 1500 Cache and 500 XP mostly. Some are easy, some are not, some take a long time to collect.
Some of the most difficult challanges are -
Complete All Challenges
On-Foot Mayhem Gold Medals
Apart from these some others which will never be completed unless you specifically do them are -
Most of the others will be done as you play the game.