One, and a very common method of collecting weather data, is a thermometer. It is used to collect the temperature. It has liquid inside that expands when it gets hotter, and contracts when it gets cooler, but there is also a lot of digital thermometers in use.
Another way of collecting weather data is using a radar system. This is used to create snow and rain weather patterns, and is usually what you see when you look at the weather on the 'rain forecast/radar'.
A third way of collecting data is by using a rain gauge. It collects raindrops, and tells you how much it rained over the time that the rain happened. It usually measures by cm, then inches.
A fourth way, and the final one I will list, is by using a wind vane. This is a tool that is like a sail, and gets pushed by the wind to show wind speed.
I hope this helps! ~Mia