And? Already found some collectables? ;)
The collectables in Mafia 2 suck because you can only grab them at certain times. In the GTA games you can take your time, go looking for them. Here, grab it in the middle of a gunfight or no chance. It's annoying.
This actually reminds me of games where certain things can only be done during battle, like free healing effects in many JRPGs. (The Heal Staff in Final Fantasy is one example; given how scarce healing resources are in that game (assuming the original version or PSX Normal mode), sometimes a player will deliberately drag out a battle just so they can keep using the staff to heal the party for free.)
Or, worse, there's certain battles in SRPGs that have items hidden in them, but once you kill the last enemy, the battle ends and you can't get the item anymore. There's also some SRPGs that have this combination of mechanics:
* A character who dies during battle is gone forever once the battle is over.
* There exists a revive spell, but it has to be used during the same battle.
These can become quite annoying in games that have counter-attacks; it is possible for the last enemy to be killed on the enemy's turn by a counterattack, causing the battle to end too soon.
(Incidentally, the situation with dead characters could be analogous to a game where an injured character, if not treated before the battle is over, can bleed to death in a game without resurrection magic; it makes no sense that a character would suddenly die if the battle ends immediately after they're injured before someone can tend to their wounds.)