There are a total of 89 collectibles in the game. You can check your progress by going to extras - theatre on the main menu.
There are 44 masks which can be found through the game,
20 in Arthurs, 12 in each of Sally's Campaign and 12 in Ollie's Campaign.
It is worth noting that once a mask is collected, it saves to the profile. I collected a mask and then had to reload an earlier save and the mask was still collected and did not appear in game when I returned.
The other 45 collectibles are found by collecting all of Jack's Shows and can be collected in a single sitting by sleeping and returning to a radio at the appropriate times. However, many people have reported that not all can be collected from a single characters campaign. I had 4 remaining from Arthur's Campaign that would not come up, that I got as soon as I found my first radio in Sally's Campaign. This will net you
Here is a video of the 44 masks that I found useful.Since the masks can be earnt on any save, this achievement isn't missable in my opinion since you can go back to previous saves, or even restart the game and collect the masks you missed.