James Heller has a lot of blanks to fill in, and one of the best ways he can do that (besides killing and eating everyone and everything in sight) is to seek out collectibles. In a way, each one will help Heller learn a little more about what’s really going on - and of course the mutation rewards are nice secondary incentive.
In addition to the maps of each zone, we have one screenshot of each collectible’s exact location (appropriately numbered). Make sure to check the minimap in the corner of each of these screens for even further detail.
Note: Initially, you cannot go beyond the Yellow Zone. Complete more story missions to gain access to the other two islands. Also, the first lair in the Yellow Zone cannot be accessed until you complete Mission 10: Orion Phase 2.