You need to collect 5 of the Black Panther figures, this will unlock the achievement and also unlock Black Panther as a playable Hero. Here are the locations:
Beneath desk upon entering the 1st indoor segment.
Underneath 1st set of stairs in Ironman's lab.
Next to the pipe on the far wall of the Dive Room.
Behind a breakable Buddah statue at the very end of the map.
In front of the 3 large daises with green gas.
Area where you have to break crosses on one of the graves.
On the bow of the 1st Viking Longship on the right.
To the right of the fire pit at the end of the hall in the small area with a desk.
Treasure chest placed by the entrance to Asgard 3 & 4.
Behind the gate that you have to open with the spear.
Small secret area behind the 2nd power node.
Upper ledge where you destroy the large cylinder near the rocket.
Thanks to Crash for the locations.