There are a total of 45 collectibles that need to be found in 9 different categories. Your collectibles do save across multiple playthroughs and only need to be found once. You can check which ones you are missing from the main menu under "Collections." Always check very closely around each scene and know what you are looking for (i.e. butterflies, small coins, plants etc.) A good tip for when you head into a side-scene (small zoomed-in area within larger scenes) is to continue looking until the game boots you back to the main scene (i.e. do not click the back button), which happens when you have found everything in that screen.
Click HERE for a guide with the locations of all the collectibles. It is recommended you play through once and find what you can on your own, rather than strictly following the collectible guide. You will find most on your own and going step-by-step through the guide can be unnecessarily tedious. Near the end of the game, or after completing the game and loading the final checkpoint, when all scenes are open to explore, you should use the guide to mop-up any collectibles you may have missed.