Collage is considered a derivative work.
For a derivative work to be copyrightable, it must be "different enough" from the original works that it can be considered a new work in its own right. For most collage artists, this is not a problem. The very nature of collage generally involves combining multiple elements to create a new whole. However, keep in mind that the changes must be significant. Minor alterations to a single other work might not be "different enough."
Most important to the collage artist is that a derivative work can only include copyrighted material if it is created by the owner of the copyright on the original material, or with that person's permission. This means that making a collage that includes photos from National Geographic, Rand McNally maps, or pictures of Andy Warhol paintings, is illegal unless you have obtained permission from whoever owns the copyright on those works.