For ease of reference the following guide lists where to find both the Gorgon Eyes and the Phoenix Feathers. Note that there are more collectible chests than you actually need to completely upgrade your health and magic, so if you miss a few don't worry.
Shores of Attica
Eye #1 - After the first basilisk encounter, head forward to the big gate that you need to ram. Before ramming the gate, head left and jump to the platform to find the chest.
Eye #2 - Shortly after the gate, and before the next save point, you will climb a long ladder. About halfway up, jump off and down to a platform. go around behind the ladder to find the chest.
When you get to the point where you need to shoot the basilisk with a ballista, aim the ballista at the center building just to the left of the basilisk and fire it. This will break that building open, as well as net you a separate trophy. You need to be sure and do this to open up an area that you can then access later in the game.
Feather #1 - After shooting the basilisk, open the door to the next room and head inside. Cross to the other side of the room and climb the ladder there to find the chest.
Eye #3 - After killing the cyclops, and taking out the archers around the next save point, head left before the climbable wall to find this chest.
Eye #4 - Climb the wall and head up the ramp to a small building. This is the building that you broke open earlier with the ballista. Head inside to find the chest.
Feather #2 - In the same area as the small building you broke open, head right to a gap with two archers across the way. Jump over and kill them, then loot the chest.
Feather #3 - After solving the puzzle with the crate and the dead body, head down the corridor past the save point, and you can't miss it.
City of Marathon
Feather #4 - When you regain control after the cutscene killing the basilisk, you'll see this chest to your left in plain view.
Eye #5 - As you push the burning crate through the fog, watch to your left for an area that you can enter. Jump up to the ledge here to find the chest.
Eye #6 - Push the burning crate to the end of the path and enter the door to the next room. Head up behind the broken pillar in here to find the chest.
Feather #5 - After lighting the hay wagon on fire, push the wagon until you reach the second archer along this path. Enter that area and kill him. The chest is right there.
Temple of Helios
Eye #7 - After climbing up to the temple, head left across the water to the large staircase. Go around the left side of the staircase and the chest is in the corner.
Feather #6 - Ride the large elevator where you have to kill the satyrs. After the ride head right and go downstairs. The chest is there.
Feather #7 - Kill the first Fire Guard that you encounter and head past the save point to the elevator. Before taking the elevator, go downstairs in this area to find the chest.
Eye #8 - When you regain control of Kratos after the cutscene with Eos, head to the right and knock the pillar down. Cross the pillar and go right to the end of the balcony to find this chest.
Eye #9 - After grabbing the Sun Shield, head upstairs in this same area and go through the door up here. Look left to find the chest.
Feather #8 - In Euro's room, pull out the movable platforms from the wall and jump inside the secret compartment on the left side of them. In the next room, immediately head toward the screen to find this chest.
Eye #10 - Exit Euro's room back to the large central circular chamber. Head all the way to the right on this balcony to locate this chest.
Caves of Olympus
Eye #11 - Jump in the water to the right of the save point. Swim to the right to see this chest next to a torch.
Feather #9 - Swim underwater in this same area and smash your way through the gate to an underwater corridor. Swim to the second gate and smash through it as well. Look to the right to find this chest, alongside two red orb chests.
Eye #12 - Fight and kill the minotaur, then watch the cutscene with Eos. Afterward, proceed along down the underground river until you get to deep water. Dive under and swim to the bottom to locate this chest.
Feather #10 - After acquiring the Light of Dawn item, head left through the hole in the wall. Run toward the screen to see this chest on your left.
Temple of Helios (again)
Feather #11 - Ride the elevator and kill a butt load of harpies while riding. When it stops, head to the opposite side of the room from the save point to find this chest.
Eye #13 - In the very next room there is another statue puzzle. Look in the lower left corner of this room to locate this chest.
Feather #12 - Ride the next elevator down. Go straight ahead and down the bridge made of flames. Head all the way left to get this chest.
Eye #14 - After clambering up a giant-sized staircase, head to the right side of this area to see this chest in plain sight.
Eye #15 - At the very beginning of this level, climb the wall and across the ceiling and drop down on a ledge. Look left to see another ledge with two chests on it. Jump up and cling to the ceiling. Cross over to the other ledge and drop down to loot this chest.
Feather #13 - Fight several medusa's and enter the next area. You'll see a broken staircase, but don't jump across yet. First head toward the camera and go down the climbable wall to a lower ledge. Head right and sidle across a narrow ledge to another wider ledge. The chest is there.
Eye #16 - Fight and kill the three cyclops, then jump up to the ledge above this same area. Head left and break the wall to reveal this chest.
Feather #14 - Once you reach the next save point, use the pillar to allow you to jump up to the ledge in this area. Go left and break open the wall to get to this chest.
Eye #17 - Kill two death knights to open the next door. Head on through to a room that has a statue in the middle of it. Head to the right side of the room to discover this chest.
Depths of Tartarus
Feather #15 - At the very beginning of this chapter, run toward the camera to the save point. From here, head to the right to locate this chest.
Feather #16 - Fight and kill the minotaur, then head left and up the stairs to the save point. From here, head right and break open the wall. Go through the hole you made and sidle across the narrow ledge to the opposite side. Smash the breakable wall over here and you'll find this chest next to the lever you need.
Eye #18 - When you get to the room with the throne that has the dead guy sitting in it, look in the lower left side of the room for this chest.
Eye #19 - Use the cryptkeeper's key to enter the Temple of Zeus. Immediately upon entering, look to the right to see this chest next to a red orb chest.
Eye #20 - After acquiring the Gauntlet of Zeus, head down the narrow passage and break the Zeus statue to get out into the room with the two remaining statues. Smash the left-hand statue and this chest will be sitting behind it.
Eye #21 - As soon as you get to the area where you can see the chained up titan Atlas, look to the right to locate this chest.
Eye #22 - After acquiring the gorgon eye, start heading up the climbable wall. About halfway up, you'll see a gap to the right. Jump across and continue up the wall. Open the door up here and head all the way in until you reach a ladder going down. Climb down and look to the left to loot this chest.
Feather #17 - Now look to the right of this same area to find this chest.
Feather #18 - Solve the puzzle where you pull the two levers to release the two huge chains. Now head up the climbable wall to a small alcove area. Go through the door up here and you'll see this chest in plain sight.
Eye #23 - upon reaching the docks area once again, proceed along the path and you will soon see this chest in plain sight to your left.
Temple of Persephone
Eye #24 - As soon as you enter, head to the right to see this chest just sitting there waiting for you.
Feather #19 - In the second room you get to, fight and kill the two sphinx, the head to the left side of the area to locate this chest.
Feather #20 - Turn the elevator to ride upward. You'll soon see a crack in the wall. Continue past the crack and watch carefully and you'll see a doorway that you can enter. Go through to find this last feather chest. If you get to a second crack in the wall, you've gone to far, so go back down some.
Eye #25 - Ride this same elevator all the way to the top and kill everything that isn't you. Now go right and head through the door here. Follow the corridor all the way to the end to locate the last eye chest.
Note: The trophy for each collectible will unlock as soon as you collect the last eye or feather you need to max out Kratos' health and/or magic. Also note that after your health/magic is maxed out, any further collectible chests will give you red orbs instead, which is helpful for maxing out all of your weapons and magic items.