From the start button menu, there is an option to review checklists of certain aspects in the game to see how many you've completed. There's a similar option called the "Memo Pad" that lists the various side story missions such as bounties or employment. If you complete these lists, you will get bonus items. Most of them are sent to you by the postal service in the game, but there are a few which will simply be given to you by a character (e.g. completing the "Inventions" list will prompt the inventor to give you the item).