The Ultima Collection CD contains the same game versions as the Ultima I-VI series before (that is including the non-working Ultima II) plus the complete Ultima VII and Ultima VIII and a couple of videos featuring Richard Garriott explaining the Ultima timeline. As a bonus they included a DOS version of Richard Garriotts first game 'Akalabeth'.
The Documentation is completely on CD apart from the installation pamphlet and an 'Atlas' with black and white maps of all Ultimas.