When looking at them through the binoculars, it will usually show if they have a collectible item. A lot of letters, documents, sniper reports, and all duty rosters are dropped by enemies.
Thus, you can return to the title screen without having to reach the next checkpoint, and you do not have to collect them again if you die. All collectibles are saved automatically when you obtain them. There is a collectible counter for each mission which displays how many items of each type you have found. You can collect missing items at any time using mission select. The two Co-Op Overwatch missions also contain collectibles and are required for the achievements. Search the indicated locations to find all 322 collectibles (50 Letters From Home, 50 Letters To Home, 50 Last Letters, 75 Misc Documents, 27 Sniper Reports, 40 Duty Rosters, and 30 Deadeye Targets).