Since I recently finished all of the collections and I've had a few questions about where various pieces come from, I figured I'd throw a post out with all the information I have gathered while finishing mine.
First, the rewards for finishing all of the collections (not including the Collector's Edition special collection).
1. The usual 10 AA or ~3% Regular XP
2. The aug
Sliver of Fear3. The suffix title "the Fearchaser"
That does not include the rewards for finishing all of the other collections. In total, it rewards you with 480 AAs (+10 with Collector's Edition) and a few jewelry items (about T1 group RoF in quality).
Now, the basics of the collections. In each zone, there are 4 separate collections. Three of these are "ground spawn" collections and the fourth is dropped by specific mobs found in that zone.
On to each zone and it's specifics. I will detail the ground spawn collections in each zone and then that zone's mob dropped collection.
Shard's Landing (Zone Achievement: At the Source)A Tracker's Guide to Shard's LandingThe parts for this collection spawn throughout the zone in the areas populated with animals.
Fear in PiecesThe parts for this collection spawn in the middle "crater" area of the zone.
Signs of MadnessThis collection's pieces come from the two Alaran areas of the zone: the Forsaken and Underground Cities.
Alaran in ChainsThese pieces drop from the "conscripted" Alaran mobs inside the Underground City.
East Wastes: Zeixshi-Kar's Awakening (Zone Achievement: Heralds of War)Gildorn: Madman or Visionary?These come from near the Coldain huts throughout the zone.
It Attracts All KindsThis set's pieces spawn in the "wilds" of the zone, away from the various buildings. One of the hardest sets to locate.
Weapons of WarThe pieces for this collection come from the Orc and Giant fort areas.
Glimpses of NightmareThese collectibles drop from the "Fear" mobs throughout the zone. This includes (but is not limited to) Nightmares, Fearlings, Amygdalans, etc.
The Crystal Caverns: Fragment of Fear (Zone Achievement: Down to the Last Dwarf)Coldain's Last StandThese come from the Coldain city area of the zone.
Gross PopsiclesThis set is found near the river and in other areas with non-City Coldains.
Hairy and ScaryThe pieces for this collection spawn near the Spider and Tentacle areas.
Crystal TchotchkesThese parts drop from Ry`Gorr Orcs found throughout the zone.
Kael Drakkel: The King's Madness (Zone Achievement: Chilling with the Giants)A Faerie Fun PartyThese are found throughout the zone, outside of buildings. This includes the entire "Arena" area, back through Derakor the Vindicator and Avatar of War locations. This set can be one of the hardest to finish due to the buggy nature of the Arena ground spawns (many disappear when you try to pick them up).
Prime PredatorsThis set is also found outside of the buildings, but located near Coldains and Giants.
Icy ArtifactsThis collection set comes from within the various Giant buildings.
101 Ways to Keep Your Chin WarmThese are dropped by Giants throughout the zone.
Grelleth's Palace, The Chateau of Filth (Zone Achievement: This Little Piggy)One Pig's TrashThe parts for this set are found on the upper plateau right outside the palace. Some may also be found on the lower fields.
Dirty RoboticsThis set is found within the Palace, on all floors.
Resilient NatureThese pieces come from the large field area from the zone in until the elevated plateau.
Delicious MeatsThis collection is dropped by the Swinetor throughout the zone.
The Breeding Grounds (Zone Achievement: Digging for Dragons)Blessings of the IcewingThe collectibles for this set come from the ice/blue areas of the zone.
Life-size FossilsThis set's pieces are found in most areas of the zone, except those used for the other two collections.
Corruption CataloguedThese pieces come from the two areas north of Shamptan the Summoner.
The Smellier the BetterThese are drops from the Chetari mobs in the tunnels.
Chapterhouse of the Fallen (Zone Achievement: Death is Only the Beginning)Death isn't Easily UndoneThis collection is found on the second floor of the zone (pink colored area on EQResource maps).
Smite Makes RightThese parts come from the first floor of the zone. This is the floor with the zone to/from Shard's Landing.
Unfinished BusinessThe pieces for this collection can be found in the bottom, cavern level of the zone. Note that there are quest ground spawns that look similar to the collectible ground spawns. The visual difference between them is the glow around the collectible spawns.
Dem BonesThis set is dropped by Skeleton mobs throughout the zone.
Evantil, the Vile Oak (Zone Achievement: Nature is Weird)Gnomish GizmosThese come from the areas outside the tree. This includes the crevice area.
Icky, Sticky, and SquishyThis set spawns inside the tree, on all levels except the top-most.
Nature's Corrupted CandyThe parts of this collection come from the very top level of the tree. Some can also be found outside on the ground, but more rarely.
Remnants of a Lost LifeThis dropped set can be found on the Alarans inside the tree.
Valley of King Xorbb (Zone Achievement: Eye Won!)Mementos of the FallenThese come from the areas outside the Minotaur fort/camps on the top level of the zone and alongside the sewer waterway.
Unrestrained ScienceThis set's pieces come from the various rooms on the sewer level. This includes the large room populated with Eye and Golem mobs, as well as the Northern cave areas and all Goblin areas.
Minotaur WarfareThe parts for this collection come from the Minotaur fort and some of the Minotaur camps.
Gelatinous GeometryThese pieces are dropped by the "cube" mobs found in the sewers. The best "camp" I found for these can be seen in this graphic. The only mobs that assist the "cubes" are the ooze ("spill"), Sporali, and Goblins, so these spawns can be pulled with minimal clearing of non-cube mobs.