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 ;-) :
Inside the truck.
Part B -- Video Time 00:16
Character: Ultron Prime -- Video Time 00:16
Blow up the Silver Barricade with Ironman.
Blow up the silver barricade with Ironman to the back of the train, build the Quicksilver platform and use it.
In the cockpit at the back of the train. Destroy the glass door with Hawkeye to get it.
Shake 5 suitcases with Scarlet Witch
Character: Komodo -- Video Time 01:30
There is an area to discover with Black Widow at the door. Destroy the pile.
Part C -- Video Time 01:51
Red Brick -- Video Time 01:51
The collector wants a fish. Go to the food stand and discover it with Vision. It appears on top of the food cart. Fly up, and it drops on the floor. Use Squirrel Girl to dig it out.
Character: The Mandarin (Classic) -- Video Time 03:26
Discover the hidden gold bricks at the dumpster with Ironman. Destroy the golden lego bricks.
At the top of the left building, use Thor on the cracked wall, build the pink Mini Access. Use Vision to go through.
Up in the air, next to an antenna.
Put out the fire in the train's cockpit with Captain America. Put together the Minikit.
In the back of the shop that you have to open with Captain America in the story.
Stan Lee in Peril -- Video Time 04:38
On top of the roof with the big vent. Put out the fire with Captain America
In the top right. The blown open office. Destroy the furniture.
There is a shop with a blue/white roof. Jump onto that roof so you get parts for a power coil. Put it together and let Thor open up shop. Out comes a broken car. Fix it with Ironman and drive over the 3 manholes.