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I think it unlocks pictures. I started out trying to get them all. But, after a while, it doesn't seem worth it. Some of them are in hard to reach areas or aren't available until you possibly get better abilities. I'm about 37% finished right now. As far as I can tell you can replay levels to get the collectibles. I most likely won't bother though.
I stopped caring after I had spent some time to get a bunch (I figured they contributed to upgrades or special items at the time), only to find out the game has a terrible checkpoint system that not only sends you back quite a ways, but makes you find them all over again.