As well as the cage you will get for finishing a level there is up to two other cages hidden in most levels. As you near the doorway to a cage, you will hear the Electoons cry for help.
The Electoons also appear on your medallions in the order in which they appear in the level giving you some idea of their position when replaying.
A picture guide can be found here
. Whilst the site is in French, the worlds and levels are listed in order and numbered making it easy to navigate. Credit to xDIAM0NDZ at xbox360achievements.org for posting the site.