Feathers can be found in all cities, on rooftops, chimneys, windowsills, and overhangs.
They will glow white. If you turn on Eagle Vision, they will become even more visible, as the glow stands out more.
You can see your progress by checking the DNA stream in the menu. Hit A once over the Feathers progress to see individual city progress.
You can also narrow it down to areas of the city.
You must put the Feathers in the chest in Ezio's mother's room in the Villa.
At 50 Feathers, you get the chance to buy the Condottiero hammer for 30k Florins.
At 100 Feathers, you will be given the Auditore cape.
Here are is a guide to help locating each feather:http://www.ign.com/wikis/assassins-creed-2/Feather_Maps
You do not have to get all feathers before the end of the game, as after the end you re-enter the Animus and are able to run around and collect Feathers.