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Collectors are insect like and have fully developed wings that allow them to traverse the battlefield. Their skin is susceptible to modern weaponry, including explosives, incendiary rounds, and cryogenic rounds. Periodically, as explained above, Collectors have been seen to be 'possessed' by an Overseer at which point their skin begins to emit a bright light. At this point they become more resilient and are capable of discharging powerful missiles from their body.
Mass Effect 2 *spoilers*
At a certain point in Mass Effect 2 it is revealed that the Collectors are actually genetically rewritten Protheans. According to EDI, the Normandy SR2's artificial intelligence, the Reapers harvested the Protheans 50,000 years ago to create a new Reaper. However, when their attempts failed they turned the Prothean captives into indoctrinated slaves. Eventually, they were given cybernetic modifications and were so heavily modified that only one strand of DNA is Prothean. Thus, an entirely new race was created, know as the Collectors throughout the galaxy.