There are four types of collectibles to find in The Last of Us--Firefly Pendants, comics, artifacts, training manuals--and rounding these up is a requirement for various Trophies in the game. Locating all the Firefly Pendants earns you Look for the Light, whereas finding all the comics will net you the Endure and Survive. Bagging all of the artifacts gets you It was all just lying there and, finally, hunting down all the training manuals will unlock I got this. On top of all that, finding every collectible in the game will also awards the Scavenger Trophy for your hard work.
That's a veritable ton of stuff to track down, and a load of Trophies to unlock. Fortunately, we've found everything so you don't have to!