Fusion Mods are the only unique treasures in the game. You can make any weapon or armor you like with enough R&D, but there's only one of each fusion mod and they are irreplacable (so don't sell them off).
There are 11 in the game- you'll get one for clearing each of the four vaults, one in the loot container for each of the four Architects, one for defeating a late-game base, and one from a hidden task on Havarl (more on that later).
Fusion mods are Remnant Tech, and like most Remnant gear, they come with a big bonus and a big drawback. This means you'll get the most out of a mod if you have a very specific, specialized playstyle, If you like versatility and swapping profiles a dozen times in a fight, fusion mods may not be for you.
You can mitigate the drawbacks slightly with the Fusion Mod Support Cryo Perk, which cuts the negative effects of each mod in half.
With that equipped, the Fusion Mod of Shielding (this is the first F-mod you get, from the Eos Vault) becomes a pretty good all-around mod. The Fusion mod of Adrenaline is also a lot of fun, but sort of takes the wind out of your sails against Ascendants, Fiends, and other vaguely bosslike baddies.
Speaking of which, the Fusion Mod of Adrenaline is the only mod you don't get while fulfilling another objective. See our guide here to learn the secret location of this mod.
Fusion Mod Locations:
Eos Vault: Fusion Mod of Shielding
Eos Architect: Fusion Mod of Biotic Mastery
Voeld Vault: Fusion Mod of Resistance
Voeld Architect: Fusion Mod of Hovering
Elaaden Vault: Fusion Mod of Rupture
Elaaden Architect: Fusion Mod of Tech Mastery
Kadara Vault: Fusion Mod of Rapid Deployment
Kadara Architect: Fusion Mod of Battery
On the Journey to Meridian: Fusion Mod of Health (unmissable)
In the secret Havarl Quest: Fusion Mod of Adrenaline.