Trophies can be found inside specially marked doorways throughout the game. You might miss them if you play through normally, but if you take the time to really search each level and go off the beaten path, they’re usually not too hidden (with the exception of Afro Ninja’s, but as a hint for that one, you can “climb” some walls by jumping from grip to grip).
If you complete the game and you’re missing a few, go to your trophy room and look at where the empty spots are. The position of the empty spot will tell you which level that trophy can be found in. Good luck!