There are 46 grubs scattered throughout the world. They are trapped in a glass jar and many require upgrades (Mantis Claw/Crystal Core/Monarch Wings) to be able to reach.
When one is close by you will hear it babbling. Breaking the jar will cause it to burrow into the ground and return to the Grubfather, who will give you a reward for each grub you rescue. This achievement will unlock after rescuing all 46 of them.
The full list of grubs and rewards can be found here
You can use this fully interactive map
to see all grub locations. Use the control panel on the right to uncheck everything but "grubs" and/or toggle to the in-game version of the map.
And after defeating the Collector
, you receive the Collector's Map which shows all remaining grub locations on your in-game map, making it easier to figure out which ones are left to rescue. Defeating the collector unlocks an achievement, as well: