It never hurts to reiterate collecting basics, so here goes (for deciduous trees only):
1. When collecting material for bonsai, be prepared to pass up a hundred or more unsuitable trees to find one good one. This is not true in certain areas that are blessed with plenty of good specimens in a relatively small area, but it's best to figure on looking more than collecting.
2. Select for species, size, trunk movement, trunk taper, trunk character. I often see untapering stumps posted. Nothing inherently wrong with collecting untapering stumps, but each is likely a 10-15 year project and why do all of that when you can find a lot of 3- to 5-year projects and spend your time on the more fun stuff? To each his own, of course.
3. The cordless reciprocating saw is the greatest invention in the history of the world - well, for bonsai collectors that is. Take one of those, extra 12" blades and plenty of battery power.
4. Once you've identified the lucky future bonsai, chop the trunk with the saw to a point somewhere above your final intended trunk length. I know the typical advice is to leave the trunk alone until after cutting the roots, but I've never had any trouble breaking a taproot with only a couple feet of trunk to use for leverage (this is for larger trees such as bald cypress - which, by the way, tend to be too flexible up higher to make for good levering anyway). If you collect a tree with a 2" trunk you'll be chopping at around 16" or so on the first pass, and that's plenty good leverage for so small a specimen.
5. Cut the lateral roots, farther out than the final cut but not so far out that you end up with a 200-lb rootball. Usually 8" or so from the trunk works fine.
6. Plunge the 12" cutting blade under the tree's trunk and partly or completely sever the taproot. Cut it enough so that you can bend the tree over and snap the tap if needed. Be careful with this step, because it's possible to split the trunk up through the tap and ruin your tree (been there, done that, T-shirt embarrassing so didn't get one).
7. Lift the tree from the ground. For those that come with a nice intact rootball, water to maintain moisture and wrap in plastic for the trip home. For those that don't come with an intact rootball, have some coarse soil handy either in pots or tubs and heel them in, then water to keep moist for the trip home.
8. Once home, wash off all the native soil. Cut the taproot area flat. Cut the large lateral roots back to a point where each is two to three basal diameters in length. This will look scary but won't hurt the tree. Re-cut the trunk to the finished chop length you want. Dust the roots with rooting powder and pot in coarse training soil. Water thoroughly. If your soil is newly mixed be prepared to water a few times to ensure it all gets wet.
9. Seal every chop and every cut branch over 1/4" in diameter. Do not fail to seal these cuts or you'll learn why it's a bad idea the same way I did (no T-shirt for that one, either).
10. Wait patiently for at least two weeks. Don't give up if nothing happens for several weeks. If you're collecting in the fall, don't give up until next spring is over.
If you're collecting after budburst for those species amenable to it, it's always tempting to leave foliage on branches you're retaining. It's not necessary and is usually not a good idea. The tree will transpire moisture out of this foliage, while being unable to effectively replace it since there's usually no feeder roots left. Best to defoliate.
I hope this helps.
Zach