The Internet of Things (IoT) is the recent technology intended to facilitate the daily life of humans by providing the power to connect, control and automate objects in the physical world. In this logic, the IoT helps to improve our way of producing and working in various areas (e.g. agriculture, industry, healthcare, transportation etc). Basically, an IoT network comprises physical devices, equipped with sensors and transmitters, that are interconnected with each other and/or connected to the Internet. Its main objective is to gather and transmit data to a storage system such as a server or cloud to enable processing and analysis, ultimately facilitating rapid decision‐making or enhancements to the user experience. In the realm of Connected Objects, an effective IoT data collection system plays a vital role by providing several benefits, such as real‐time data monitoring, enhanced decision‐making, increased operational efficiency etc. However, because of the resource limitations linked to connected objects, such as low memory and battery, or even single‐use devices etc. IoT data collecting presents several challenges including scalability, security, interoperability, flexibility etc. for both researchers and companies. The authors categorise current IoT data collection techniques and perform a comparative evaluation of these methods based on the topics analysed and elaborated by the authors. In addition, a comprehensive analysis of recent advances in IoT data collection is provided, highlighting different data types and sources, transmission protocols from connected sensors to a storage platform (server or cloud), the IoT data collection framework, and principles for streamlining the collection process. Finally, the most important research questions and future prospects for the effective collection of IoT data are summarised.