I recently built a racing game with Unity, and there's some tricks to collision in Unity.
Firstly, if you want two things to collide well, one has to be marked as convex. This option should be under the collision information section on the object in the inspector. For our game, we had the cars as convex (this means no holes or scalloped out bits, think of it as if you wrapped it in lycra), and the track and terrain as not convex.
Complex colliders, for example guns, can be made out of a bunch of basic collision primitives. The box collider is very fast, and you can have a bunch of those all attached to the gun to make a rough gun shape and it'll work.
Apart from that, it's very simple in Unity. Just make sure you add a box/sphere/pill/mesh collider (component>physics>...collider).
In the settings somewhere you can change physics timestep, max setps, and collision layers. Don't mess with these unless you know the consequences of messing with them, and you will only know the consequences of messing with them by messing with them. At least do it on a build you can (and will) throw away.