There are golden spiders in the levels that you can collect. There are two types, one is by physically collecting them. They are golden spiders walking around on walls, ceilings, in vents, behind a force field, etc. The other kind are rewards from defeating certain enemies. When you see the gold spider icon blinking on your screen, it means you are close. If you are fighting enemies and there is a red flash on the spider, it means you need to clear all enemies. Each chapter has a specific amount of them in specific locations. If you go to chapter select, you can see how many of them you have. Luckily, they are placed in order as you get them. Therefore if you miss the 2nd spider on a chapter but collected 4 others, the chapter select screen will show you missing the 2nd spider to the right. This helps determine which one you have missed while following a collectibles guide.
Note: There are not enough golden spiders in the game to fully upgrade your characters. You will have to get golds on the challenges to be able to upgrade completely. That being said, you also must gold every challenge mission in order to gain this achievement.
For all of the locations, go HERE.