It just told me to get the last 3 components of the suit, with an objective marker for once I get it all.  Will going to the objective marker take me to the endgame?
 
Also, any tips on which ones to go after first?

I'm currently at the same part but I'm pretty sure going to the marker will take you to the endgame. I've already went to it and the base begins to explode but I died so I could go back and collect all the other components.

Well without spoilering *too* much, see if you can find the Inertial Element first. Plus, if you want to see the ending first and go back for the rest of the stuff later, you do not need all of the suit pieces to complete the game (but some come in quite handy).

You're very close. Once you get what's left of the suit, you'll be pointed to the lake. That is the end of the game. If you want to get 100% first, skip getting the gun until last.