They are scattered around each level. They can vary in difficulties as well like easy, normal, and hard. The easiest way to find them is go to your rail map and check what each mission is. Below the name of the mission it says what kind it is like a sponsor challenge, magic circles, ETC. If you need any other help let me know man. I just completed the entire game like two days ago.
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^Pwned^ Games I'm waiting for- GoW 2
- Left 4 Dead
- Mortal Kombat VS DC Universe
- Rock Band 2
- Fable 2
- Guitar Hero: World Tour
- Halo Wars
- Fallout 3
- Dead Space
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amped 3 help 
Linear Mode
