Superliminal

There are five types of collectibles in this game:
 

• Fire extinguishers. These are exactly what you'd expect: red and hanging on walls. You need to interact with each one four times to discharge it. 
• Fire alarms. Again what you'd expect. You need to pull them all. Always on walls and often near doors. One other thing worth noting is that in Level 5: Clones, when you pull a fire alarm it clones the handle and falls on the floor. Cloning a handle once counts as pulling that fire alarm (confirmed by replaying the level, where you'll see the fire alarm pulled and un-interactable if you've cloned it once before). So don't worry about cloning them tons of times to get them to count in that level.
• Constellations. Each level has a well-hidden room filled with stars. You need to locate that room, then line up your perspective to make an object out of the stars above to create a constellation. 
• Blueprints. These are hidden somewhat well. They are blue pieces of graph paper that you interact with to draw a blueprint on them. 
• Chess pieces. These are glowing chess pieces that are the hardest to find collectibles in the game. You will undoubtedly need a guide to find every single one. 

Thankfully, none of the collectibles are missable. All of them can be collected using level select in case you miss any during your playthrough. The other good news is that the game now tracks your collectibles, sort of. When you go to level select and highlight a level, across the bottom of its tile will be five images, one for each of the five collectibles listed above. A line through an icon means none of that particular collectible in that level. The icon will either be grey if you still have one or more of that collectible left in that level, or white if you found them all. This can be particularly helpful for fire extinguishers and fire alarms, of which there are a huge amount of (over 50 of each). There isn't a way to keep track of how many of each collectible you have left, but at least you can see which levels you need to replay for any.

It would be impossible to describe the locations of all of the collectibles in text, so please refer to the following video, courtesy of AchievementSquad. Not only does it show the locations of every collectible in the game, but it also is a full game walkthrough showing how to complete every puzzle, along with commentary. It is invaluable for the collectibles in particular.