I lived the collectibles in Anacronox, they were little golden taco trophies and their lore was that they used to be highly sought after until it came out that TACO stood for Totally Arbitrary Collectible Object and it tanked the market.
You meet a guy that held on till the bitter end but finally had to sell off his collection because he needed the money, so you give him any you find for trinkets and stuff to help him rebuild his collection.
It helps to understand some of the deeper lore, but AW2 does a good job of letting you know the important bits so it’s not necessary to have played the first one.