In each zone, there are chests in some places. Some chests can be opened, but most are member chests, which can't be opened unless you have a Membership. There are also a few special chests, which need something to open it (Green Chests).
Known regular chests:
Bonfire Spire - West up the stairs where Slurpy is, Past the royal kitchen, In the area with bridges to get to the throne room entrance, or there is the chest that you need to get the key and defeat the guardian (Flame Creator), then you get the Boots of Hotwalk (key item) to defeat Cebollini.
Shiverchill Mountains - Secret room (you can access this by taking the mining car tunnel in the middle of the furnace room (blocked off after quests), Yellow cave leads the a mountain area with a chest containing a power crystal (this is how the ice melts of the chest in the treasure room so you can get Mjoln-Ice), and The ruined steps, commonly with 2 Cloakers guarding the area.
Firefly Forest -???
Skywatch - Past the factory entrance, and more...
They can be found almost everywhere!