In this paper, we address the general case of a coordinated secondary network willing to exploit communication opportunities left vacant by a licensed primary network. Since secondary users (SU) usually have no prior knowledge on the environment, they need to learn the availability of each channel through sensing techniques, which however can be prone to detection errors. We argue that cooperation among secondary users can enable efficient learning and coordination mechanisms in order to maximize the spectrum exploitation by SUs, while minimizing the impact on the primary network. To this goal, we provide three novel contributions in this paper. First, we formulate the spectrum selection in secondary networks as an instance of the Multi-Armed Bandit (MAB) problem, and we extend the analysis to the collaboration learning case, in which each SU learns the spectrum occupation, and shares this information with other SUs. We show that collaboration among SUs can mitigate the impact of sensing errors on system performance, and improve the convergence of the learning process to the optimal solution. Second, we integrate the learning algorithms with two collaboration techniques based on modified versions of the Hungarian algorithm and of the Round Robin algorithm that allows reducing the interference among SUs. Third, we derive fundamental limits to the performance of cooperative learning algorithms based on Upper Confidence Bound (UCB) policies in a symmetric scenario where all SU have the same perception of the quality of the resources. Extensive simulation results confirm the effectiveness of our joint learning-collaboration algorithm in protecting the operations of Primary Users (PUs), while maximizing the performance of SUs.