There are a number of collectible items in MegaMan X: Corrupted, including consumables, permanent upgrades, situational items, and other secrets. These can be found by X, Zero, Axl, or Synthia.

Consumables

These items can drop randomly from defeated enemies or found in stages at fixed locations.

Health Energy
Restores lost HP, or fill the Sub-Tank when HP is full. Restores 3/6/16 HP for a small/large/huge capsule.
Weapon Energy
Restores energy used by special weapons. Restores 3/6/16 WE for a small/large/huge capsule.
Combo Energy
Restores both HP and weapon energy, and only drops while the Hydra Armor Helmet is equipped.
Extra Life
Gives the player 1 more attempt to continue from the last checkpoint after dying.

Anti-Consumables

If Plasma Puffer's Final Four is in effect, pre-placed items in stages will have the opposite effect.

Bad Health
Drains Health Energy.
Bad Weapon
Drains Weapon Energy.
Bad Combo
Drains Health and Weapon Energy.

Upgrades

These items grant permanent upgrades upon pickup and are difficult to acquire. When playing as X or Zero, these upgrades affect both characters.

Skill Capsule
Unlocks the Skill Tree, and is later used for Air Mobility enhancements.
Heart Tank
Permanently increases HP capacity by two points.
Sub-Tank Expansion
Permanently increases the capacity of the Sub-Tank by 4 points.
Rare Metal
Adds a large amount of experience.
Supply Crate
Collect them to upgrade... something?

Checkpoints, Save Capsules, and Telepads

Checkpoint
Touch it to temporarily save your progress.
Save Capsule
Use it to permanently save your progress, transfer to another Save Capsule, or alter your skill point allocation.
Telepad
Use it to teleport to another Cybergate Telepad.