The first 3 games in the series are very good, and you do have a lot to collect. The levels are linear following the narrative (get to the exit, beat a boss), but you can come back to levels and try to collect more, especially the elusive golden bolts. After the 3 game they become to much 3-person shooter to be fun...

Tomba (Tombi EUR) & Tomba 2 The Evil Swine Return are two of the best open world platformers that I've ever played.

Both games feature one decently sized world that is not segmented into levels BUT it's not a 3D platformer.

The first is strictly a 2D side scroller and the second is 3D that is presented like a side scroller but the screen wraps around in certain areas.

They're PSOne games and difficult to find but the latest ePSX emulator runs them quite well.

Also look up Jasper, Tommy Tronic and Frogatto for the PC. I used to collect these games but for some reason these are the ones coming to the top of my mind.

The two Megaman Legends games were also open world collect-a-thons.

And most recently Helena The 3rd is a Blaster Master spin off and can be found in Indievania and Desura.

Now this... this is the kind of stuff I'm looking for.

Seconding Rocket. Very under appreciated game.