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 ;-) :
Shoot 3 yellow enemy planes.
Fly through the balloons.
There is a Minikit in a ring of studs. Fly through it.
Part B -- Video Time 00:30
Character: Ultron Sentry Officer -- Video Time 00:30
Blow up the golden bell.
Fly up in the air.
Use Squirrel Girl at the dig site.
Blow up the black lego brick pile with Ultron.
Use Hulk on the green handles.
Character: Thanos -- Video Time 01:26
Right next to the golden cogwheels you need to blow up for the strory, there is a grapple for Hawkeye.
Part C -- Video Time 01:33
In the first part of the fight, there is an area to discover to the right with Black Widow. A grapple appears on the trunk of the car. Open it with Hawkeye.
In every 3 parts of the fight against Ultron there is a dig site. Dig it up with Squirrel Girl and smash the box. 3 in total.
In Part 2 of the fight, there is a dig site for Squirrel Girl. Dig through and you get a Minikit.
Red Brick -- Video Time 02:50
The collector is in the same area as Minikit 10. Put out the fire with Captain America, assemble the item and use it with Scarlet Witch. Take the item back to the collector.
Stan Lee in Peril -- Video Time 03:51
In the 3rd part of the fight, at the back left there is a burning area with a glass dome. Put out the fire with Captain America and shoot the glass with Hawkeye.
Character: Wasp (Classic) -- Video Time 04:22
In the 3rd part of the fight, assemble the Quicksilver ramp and use him to get the Token.