Yeah I love them as long as, as people have said, they are optional and unmissable. I loved the Spyro games on PS1 for this, got everything on all three of them (I think there were only three...)

I'm not certain GTA has got it quite right anymore though... It was a lot of fun in the first two for PS2, as the maps weren't too big, and there were rewards sooner. In San Andreas it seems more of a chore, and the rewards aren't as good, or come way too late in the game to be that worthwhile.

I think OoT or Majora's Mask probably had the most fun collectibles of the games I've played... Maybe the cards in FFVIII...