Most collectibles don't unlock that much. Perhaps an Achievement or Trophy. Maybe a few cheats or some Easter eggs. But in BioShock 2, they unlock the entire point of playing in the first place. They unlock the game's story.
If you don't grab every audio diary, you won't see more than 50% of the plotline. If you don't search every dark corner of Rapture, you won't learn the full truth about the city's history, including the origins of the Big Sisters, the Little Sisters and the Big Daddies.