Welcome Aloys! The new blockbuster from Sony productions is finaly here, and it is bigger than the predecessor. The good news is that you don't need to collect everything, but for the sake of collectioning, I will try my best to cover everything.

Step 1 - Reach the end off the story/finish the story first and unlock Warrior Skill Tree first

You can still do everything as you progress, but certain quests, collectibles, puzzles will be blocked by some walls you can't really pass through without a proper gadget in your possesion. I advise you to finish the main story first, or at least to progress before the final mission "Singularity". You will know about the mission as it is the one after getting your flying beast as a gadget.

        If you plan to finish the "Singularity" mission at this point as well and unlock free roam after the story, note that 2 machine entries are completely missable and you can only scan them with holding R3 (Focus mode) during that mission. So, missables -  Specter & Specter Prime machines. Make sure to scan them. I suppose the devs will patch this up in the future, but for now you need to be careful about scaning them.

When you use your skill points, aim to learn all skills under Warrior Skill Tree first - you will need them for Melee Pit challenges, which you need to complete all. This unlocks one final quest to challenge the master. If you miss out on skill poits, simply play the rest of the game to collect them (collectibles, quests, etc,.)

Step 2 - Focus on needed collectibles after the story or after you unlocked all gadgets

You don't even need to collect all there is in all single categories. You only need:

All 6 Tallnecks. Do this first to reveal the map.
All 4 Hunting Grounds (sum of 12 Hunting Ground Trials). It's only required to get the Quarter Stripes scores in each trial (bronze).
1 Arena - You can only do the Easy challenge, but you can do the rest to unlock Legendary Hunter Bow "Death-Seeker’s Shadow". It's and awesome bow.
4 Melee Pits. You need them all.
6 Cauldrons. You need them all.
6 Rebel Camps. You need them all.
17 Rebel Outposts . You need only 4.
4 Gauntlet Runs. You need only 2.
9 Relic Ruins. You need only 3.
9 Vista Points. You need only 1.
6 Signal Towers. You need only 1.
12 Black Boxes. You need only 1.
10 Survey Drones. You need only 1.

Step 3 - Coming soon...

Sorry everyone, I need to play and cover Elden Ring first, I will be back to cover this guide soon :)