Collection is a menu where the player can view all the items they have unlocked in the game. Characters and items are earned and when one is selected in the menu, Gregorio III will give his commentary on the character or item.
Just by completing a stage in Single Play, one item will be unlocked, but if the player receives the highest ranks either an "S" or "A" rank they will receive that item plus an extra one.
More collection items can be unlocked in Master's Play. Every first stage that is completed will unlock the blank slot where the item will be placed in your inventory, and every second stage completed will unlock the item.
The PS2 version had an option where if the player pressed "X" every time while an item is being viewed, Gregorio would repeat his commentary. This was removed in the PSP port for an unknown reason.