Hyper Light Drifter

You can use this guide if you like text and pictures, or this guide if you prefer video. The video guide has everything in order regardless of the collectible type, while the text/picture guide has them split up by collectible type, so you'll be running through the sections multiple times with that (which is unfortunate because I usually prefer text over video, but the chronological nature of the video is much better in regards to minimizing time spent searching).

You can also use this interactive map to mark things off as you find them. Left clicking will give a description of how to find it if it's been filled in (very few are), while right clicking will hide the item to mark it as found. If you're following the videos it shouldn't be necessary but if you like to be thorough it won't hurt anything either.