All the collectibles (except the Ceramic Eggs) are shown on your map. Collect them all during your easy playthrough and you'll save yourself from the hassle later. Hit to access your map. You can check your progress by hitting and then into the relevant section. It will show a padlock for any parts you didn't get, but unfortunately it doesn't tell you exactly what area you are missing one from. You can get these while playing through story mode or free roam afterward.
A collectible guide can be found HERE.
(Thanks to Joseph0714 for posting it and thanks to Lemmerman on PS3trophies.org for making it.)
Tip 1: There are more collectibles than needed. When you collect the required amount (ie: 50 eggs), it will remove all extras from the map.
Tip 2: For every collectible on the map, there's a little triangle (up or down arrow) indicating if it's upstairs or downstairs. No triangle means it's on the same level you are currently on.
Tip 3: You can also press while playing to activate Cap Vision. This will make ledges/exits glow if you aren't sure how to get to a specific part. This helped me find a few awkward things.