Each PCU is cumulative including prior content updates and fixes. So 2011-1 and 2011-2 are included with 2011-4. Always review the included README before deploying.
The Data Collection (aka RMS/bv-Control) PCU only applies to the data collection component and should be applied to each Information Server. Once installed, you will then need to update the ECS and Query Engines. bv-Control for Unix Agents (if any) will need to be upgraded but not necessarily immediately. There is a single PCU for all recent versions of Data Collection (v9.0.1, v10, v10.5).
For those using ESM as a data collector, content updates are delivered by LiveUpdate.
The Reporting and Analytics PCU only applies to the Directory, Application and DPS services. You should, as the README, says apply the PCU first to the Directory Server, then Application Server and finally each deployed DPS. There is a separate PCU for each major version of R&A (v9.0.1, v10, v10.5). The most recent versions of the R&A PCU for v10.5 require that you first apply SP1 (10.5.1) if you have not already done so.