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.
Left in the back. There is a slot for Captain America's Shield. The door opens and Scarlet Witch can discover the Minikit.
Right in the back next to the big gate is a pink Mini Access for Vision.
Character: S.H.I.E.L.D. Scientist -- Video Time 03:40
On the right side there is a red box with a glass Window. Use Hawkeye's sonic arrows.
Stan Lee in Peril -- Video Time 03:49
He's trapped in the car in the center of the room. Use Thor on the yellow cracked wall.
After you turned on the sprinklers and fixed the car, there is an access panel to the left. Open the door and use Ironman to cut the shape.
Go back to the terminal which you used to turn on the sprinklers. Select a hydra agent and activate the terminal.
Catch it while driving the car.