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 ;-) :
Use the terminal with a S.H.I.E.L.D. Agent. In my case, Bruce Banner.
Fly up. The Minikit is close to the ship in the air.
Stan Lee in Peril -- Video Time 00:46
On top of the Ship, destroy the silver satellite dishes with Ironman, build a ramp for Quicksilver, use it. Discover the hidden object with Black Widow.
Part B -- Video Time 01:34
Blow up the silver chain off the bikes and ride the bike along the stud trail.
Destroy stuff and build the pink Mini Access at the restaurant to the left so Vision can go through.
Destroy the dark Lego bricks in the car with Ultron.
There is a big broken clock at the top of the big building in the center. Fly up with Vision and use telekinesis. Pick the Minikit up on the floor.
Character: Loki (Suit) -- Video Time 03:30
Use the console at the big building first with a Shield Agent, then with a Hydra Agent.
Red Brick -- Video Time 04:13
The Collector is in the back, left. He wants a saussage. There is a hot dog stand at the right side on the quare. Use Scarlet Witches Mind Control to get one.