I like collectables only IF you have a map for the game (which is preferably a sandbox one). The reason for this is that I never go to collect them on my own, I rather download a printable map with them, print it and go on to have a treasure hunt. It's a game in itself and I tend to have fun with it a lot of times. Some good examples are the previous era of GTA games, like Vice City, and oh boy, the goldmine itself: San Andreas. A bad example would be Assassin's Creed only because of its shitty map, but the guide I was following made it all the way more easier, so it was semi-fun.
Though if I have to say one thing that I'm even ashamed of and I definitely didn't have any fun with, it would be the Queen of Cards "sidequest" in Final Fantasy 8. The huge ammount of time I spent on it was mostly spent by swearing at my monitor (had the PC version), constantly standing up from the PC and going out to have a smoke (I don't smoke often, and only smoke pipe), and slowly giving in for the insanity that came from the experience. The worst part? All I got was a freakin star. In the menu.
Since then I'm a bit more careful when it comes to tedious sidequests or whatever in a game, and that's the reason I discontinued getting all the orbs in Enslaved, saving everyone in Dead Rising, and getting all the fairies in Zanzarah: The Hidden Portal which is a Pokémon ripoff that is fun to play (yeah, I love fairies so what).