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Follow the guides there if you wish to find all the locations.
Artifacts also function as currency for some pretty powerful upgrades so it’s worth finding them as soon as you can. Often they can be accessed in areas, that are otherwise too tough for you to handle, by sneaking, do so whenever possible.
Artifacts have a purple glow so most will be hard to miss if you explore a cleared zone with your flashlight on but it’s still not impossible.
Note, the artifact in the Lair of the Horned Devil is special, first off it counts as 4 points. Supposedly it can be missed if the boss there doesn’t activate the giant robot to which it’s attached, but since it’s not advantageous to you to destroy it before that (you’ll see when you get there) you’re unlikely to render it uncollectable.
Finally, if you’re missing an artifact and don’t know which one, the ones you have collected appear in your backpack, even if you’ve spent them in Pripp’s Bar for upgrades. Simply compare a full list to what you have.