I have spent countless hours scouring the internet for Two Worlds II maps where the locations of the caves are marked. Unfortunately, most of the results led to a German map on a dead site, so I decided to mark them myself as I progressed through the game.My solution
In the first Two Worlds, once you found a cave, you simply had to enter it to start exploring. Regretfully, this system has been changed somewhat in the sequel, with the addition of red or simple locks to the entrance doors. The latter can be opened by plain lockpicking techniques, while the former either means that it requires a quest (which you haven't picked up yet) or that it will only be accessible in a later chapter. Because of these factors, I always checked and completed (where possible) available guild sidequests in every town that I entered, before proceeding with the main storyline.
In short, always check for new sidequests from guilds before progressing in the story. If there aren't any, simply continue to the next chapter then try again.Other sources
If you haven't been able to locate all of the caves in a single walkthrough of the main game, don't fret, because you will still have a chance to unlock them (in theory) in the DLC (Pirates of the Flying Fortress).Antaloor Map Guide
The red dots mark the caves that are also included in the collector's edition, whereas the blue dots are not. The red dots that are connected by a line are counted as a single cave by the game. This is because they have multiple entrances but ultimately still lead to the same place. It is important to know that you should only explore the cave marked by a yellow dot if you wish to finish the game, because once you enter it, you have no choice but to complete the main quest.
Note that these aren't all of the caves that are in the game, just the ones that I managed to find, but locating them will definitely net you the achievement!Conclusion
If you have found my map and solution useful, please reward it with a positive feedback! Also, feel free to send me your ideas and suggestions.
To download the hi-res version of this map, right click on the image and select "Save as..." or click HERE
(Last update: 2012.08.27)