Treasures are easy to identify as they are the small chests that drop from either standard enemies, crates or bosses upon their defeat. They aren't very common normally, however when you equip your character with an item which "Increases drop rate by x percent". It's in your best interest to always keep one of these items on, as you need to obtain 200 treasures for the treasure professional achievement. Any stage with many enemies is as good as any to grind out for these treasures, though I had most of my success on the stage in which you face Roger (Mishima Industries, Biotech research Station Ruins). The stage is short and the enemies have good drop rates, especially for rare items when playing on hard.