Deciding where to collect is a bit of a chicken and egg scenario. You may wish to collect from a certain species because the method of collection is appealing or the price is right. In that case, you have to find the site. Otherwise, you may have access to a site and are willing to collect from whatever species are present, you just have to figure out what those are and if buyers are interested in them. Neither of these is better than the other, they are two sides of the same coin. In both cases, you need to critically assess the site to determine suitability and safety.
So What makes a "good" site? An acronym and two rules.
When looking for a specific species, learn about its range and site characteristics. For example, if I wanted to collect silver maple samaras, I might check out MinnesotaWildflowers.info and look at the distribution map and habitat descriptions. Now I wouldn't go look in far western MN (like Clay county) or in a dry habitat because I know I probably won't find any there.
If I have a site in mind, I'd practice my tree identification skills and figure out what species are present.
You want to collect at a site that has many trees for two main reasons:
The more trees present, the more seed you can collect with less effort. (Think of it this way, would you rather collect coins from Scrooge McDuck's vault, or from a mall fountain?)
More parent trees usually means more genetic diversity and more resilient seedlings. (How do you feel about thousands of little seedlings being sold across the state only coming from one tree?)
We want to collect seeds from wild trees. Planted trees are not the enemy– we're collecting seed so that we can have more trees to plant– but we don't want to collect from planted trees because we want to know that the seeds will be well-adapted to similar conditions. There some exceptions, namely if we are pretty sure the tree came from local stock itself. In our current environment, we can get seed/seedlings from nurseries and private sellers just about anywhere. I know at least one person who bought trees from an Etsy seller in Georgia and none survived. (As a transplant myself, I can confirm that Minnesota has a wildly different climate (and sports success rate) than Georgia.) A hundred years ago, however, planted trees were most likely sourced from close by, and if they've survived this long, they are well-adapted to this climate. If you need help figuring out of trees are planted, look for historical records, how the trees are spaced (perfectly even? Planted), and the base of the trunk (volunteer trees typically have a root flare).
Your safety is the most important part of this equation. If you don't feel comfortable at a site, leave. I'll be your metaphorical parent-- you can blame me if someone complains (they won't, though). Realistically consider your skills, the size of your group, site access, and environmental conditions. Any ladder use requires at least a second person. Maybe don't collect acorns in a field of poison ivy. Bring enough water and snacks to fuel the day and stave off hanger. Apply and reapply sunscreen. For more considerations, watch this video.
Make sure you are allowed to be collecting seed at this site! Private land that you, a friend, or family member own are the most straightforward options. Public land usually requires a couple extra steps. Public lands, like parks and trail systems, are typically managed for multiple uses, but you will need to check with each managing entity to check what is allowable. Seed collection can be lumped in with foraging prohibitions, or there may be different rules for personal vs. commercial harvest.
Identify who owns or manages your site
Check on existing regulations
Contact the manager to clarify requirements and apply for a permit if needed