Some tips that I would have liked to know before I started.

• There are no missable achievements. Even after finishing the game you can travel to all visited areas to collect stuff you didn't notice. (With the exception of the prologue, but I think it was pretty easy, maybe even necessary, to catch everything there.)
  
• There is a sort of item radar HUD when you hold down the mind control button (left shoulder). On the right side of your screen it shows icons for which items are still in this scene, though not exactly where. You enter a new scene when the screen fades to black. Get used to checking this in every area, though not every item may be accessible the first time you visit.
  
• (There appeared to be a bug (as of November 2021) where if there are multiple collectibles of the same type in one scene, collecting one may remove the icon from the radar, even though there is still more to collect. This happened to me in the latter part of the mountain overworld in the 3rd biome.)
  
• The minimap is quite generous in showing hidden areas. When exploring make sure you check every square that's on there.

I'll leave it to somebody with more patience to make an actual guide of all the collectibles ;). If you have more relevant tips, I'd be happy to add them to the list. Happy collecting!