It depends on the kind of collar and the fabric. For one thing, you wouldn't use striped fabric as interfacing for obvious reasons. Another concern is that you don't want it to shrink more than the shirt fabric does.
Then there's the style of the collar. A buttondown should be soft, could be self-interfaced, no interfacing, whatever. On the other hand a spread needs to be stiffer--you can't do that if you interface with 3-oz broadcloth. IIRC most collars with stays actually use two layers of interfacing to keep them from showing through.
If you're going for a soft collar, you could use self-fabric, muslin, whatever. Just shrink it beforehand.
I think the difference between good interfacing and cheap stuff is the thickness and stiffness (i.e., good interfacing would be stiffer without being thicker), but what do I know?