Depends on the seeds you want to keep. For example, tomato seeds, you don't just collect them, you've gotta get the goo off. So into a small dish or cup of water they go for a day or three. Then they're strained and dried.
Did you know that with pepper seeds, the floaters are the nonviable seeds and the sinkers are the ones to keep?
There are other plants that require the same water method, eggplant, squash and melons and probably other Cucurbits.
Carrots are biennial, so you've got to dig up the carrots you want to use to make seed the winter before, overwinter them, then replant. That 2nd year's flowers will produce viable seeds.
What else...? Um... let your lettuces and greens bolt, their seeds are pretty easy to collect. Then, just keep them cool and dry.