Mafia 3 is riddled with collectibles, all of which are indicated by a blue blip on the map. There are several types of collectibles that you can acquire in your travels.
Vargas Paintings: Generally located in offices of criminal lieutenants and capos. If you see one on a wall during a mission, remember the details of the building. Chances are you'll be back to oust its manager later.
Playboy Magazines: Found scattered everywhere across the city of New Bordeaux.
Album Covers: These are the album covers for the songs on the MAFIA: III soundtrack.
Communist Propaganda: Posters promoting the socialist cause, these are tacked up all around the city, mostly outside.
Hot Rod Magazine: Generally found in garages and auto shops across the city.
Repent Magazines: Religious publications, relatively rare. Usually pop up wherever it's ironic.
TL-49 Fuses: These show up as green dots on your map. Not really a collectible, but you can use these to wiretap junction boxes, which will in turn display collectibles in the nearby area. Very useful, and the number one way to hunt down collectibles.
Keep an eye out for these items throughout your travels, and check our in-depth collectible maps for the locations of each. if you're having trouble finding a nearby collectible, select it on your world map to turn it into an objective.
NOTE: There is no reward for collecting everything. No achievement, no power up, no secret ending, no nothing. So if you don't want to hunt down every last bit of ephemera in the city - don't!