Both the Finished Tales achievement and the Prospector skill upgrade require finding all the Lost Artifacts scattered throughout Mordor, so you won't be in a position to acquire them until well into the game. You'll need to have conquered the Fortress in Nurnen and visited Bruz in the fight pits to unlock the other areas of the game, and you'll need to do the Allies, Blood Sport, and The Uninvited missions in Seregost, as the third mission there has an Artifact as part of its reward.
All other Artifacts can be located through the haedir and collected normally. They're pretty straightforward to get- even if they're hidden in a cavern, the cavern itself will be shown on the map. The only other tricky one is also in Seregost- in a cavern to the east of the main fortress. It's hard to tell on the map, but the only entrance is a cave above the fortress-town, with no walkways or ropes leading there. It is possible to climb the ice up, but hard to latch on from the side. The best practice is start at the very bottom of the icefall and jump up normally.
