All Collectibles in order as they appear. The characters used are just examples. Of course, you can use whatever character you like with the according abilities ;-) :
Destroy the dark stone in the frame with Ultron.
Bottom area. Use Hulk on the green handle bars to open and destroy that box.
Character: Absorbing Man -- Video Time 00:38
Bottom area. Throw Captain America's shield into the shield slot.
Red Brick -- Video Time 00:54
The Collector is in the bottom area. Go up the ladder to the left at ground floor. At the right end, there is a mind control question mark for Scarlet Witch. Take the rocket back to the collector
Up the ladder again. At the far right there is a bull's eye for Hawk eye. Shoot and fly over to collect the Minikit.
Up the ladder again. There is a power coil for Thor to charge up.
After the ladder, ground floor there is a little area to the left where Ironman needs to fix a little device that carries a Minikit.
Character: Leader -- Video Time 02:36
At the end fight with Loki, on the right side there is a platform for Quicksilver.