There are a total of 9 Challenge Tombs in the game, some of them required a unique equipment to complete so I recommend you do it after you finish the campaign when you'll have all the items necessary.
All the 9 Tombs:
Ice Ship - location: Glacial Cavern.
Ancient Cistern - location: Soviet Installation
The Red Mine - location: Soviet Installation
Voice of God - location: Soviet Installation
House of the Afflicted - location: Geothermal Valley
Baths of Kitezh - location: Geothermal Valley
The Pit of Judgement - location: Geothermal Valley
Catacomb of Sacred Waters - location: Geothermal Valley
Chamber of Exorcism - location The Lost City
Here's a video if you had some problems in any of the tombs ( that's Not my video but thanks HarryNinetyFour for the work ).