Collections are a group of items that can be traded in for a bonus, usually Coins or experience. Be aware that many collection items are needed for Quest completion or Weapon Crafting, so DO NOT trade them in immediately. My rule right now is to have at least five of each item on hand. The collections correspond to the zombie type that drops them. You can find how many items you have in a given Collection in your Inventory. The number you have is also shown in the Weapon Crafting windows and Quest boxes if it is needed to craft that weapon or complete that quest.