There are an awful lot of collectibles, unlockables, and assorted knick-knacks scattered about the Empire of the Isles, and it would be the work of a madman to grab every last one of them. This guide breaks down which ones are worth hunting for, and what you get for doing so.
Each Mission has at least a couple of these masterpieces by Sokolov or his treasonous protege. There is an achievement for getting every painting in the game, and each painting itself is worth 200 coins, making them the most monetarily rewarding collectible, as well as the easiest to spot.
Bonecharms grant ingame bonuses when equipped, and can be broken down for whalebone by characters with the Bonecharm Crafting ability. There is no achievement for getting them all, though they can give an extra boost both to you current playthrough and New Game + mode.
Runes can be spent to increase your character's physical attributes and supernatural powers. Technically, they can also be broken down in to whalebone, but you should never do that. There is no achievement for getting them all, though they can give an extra boost both to your current playthrough and New Game + mode.
Audiographs can be entertaining, but they are not a collectible item in Dishonored 2, and offer no special bonuses, achievements or awards. There is, however, an achievement for finding all the communications between Sokolov and Foster aboard the Wale, and some of those are audiographs.
Similar to achievements, in a way, special actions are tallied up on your completion screen at the end of the level, highlighting noteworthy things your character did (ie solving a problem in a particular way, accessing a hidden area, etc.) Even though they appear as checkboxes, Special Actions that you didn't get will not show up in the completion screen. They also don't seem to do anything- there is no achievement or ingame bonus for getting every Special Action, nor is such a thing even possible in a single playthrough.
Coin & Loot
Coin can be spent at the black market for ammo, special items, and gear upgrades (in conjunction with blueprints). There's far more coin than you need, and the one coin-related achievement only requires that you find 60% of the loot in the game. So don't sweat over finding every last copper.
Souvenirs are special items that show up as decorations in your cabin on the Wale, plus one in the final chapter, after you've left the Wake. Some are looted items, other are triggered by ingame actions (such as defeating a certain type of enemy), but there is an achievement for getting them all (see the Souvenir section of this guide for more detail.
Ammo, Explosives, and Tools
All these things have uses in gameplay, but they cannot be sold for coin, and there is no achievement or bonus for using or not using them (though if you find yourself using box after box of bullets, you're probably not getting the Clean Hands achievement....).
There's a ton of written matter lying about, but it's mostly for your own edification and enjoyment. The exception, as with the audiographs, is the notes from Sokolov and Foster scattered around the Wale, which grant an achievement when all are collected.
There is no achievement related to finding blueprints, but each one does give you the ability to upgrade your gear (via the black markets, for a small fee). Depending on you playstyle, however, some upgrades may be worse than useless.
As it has been since time immemorial, red elixirs restore health, and blue ones restore magic power. There is no achievement related to finding or using/not using elixirs, and they cannot be sold.