You will have to find every Target Mark on every difficulty. If you miss a Target Mark you can come back for it through level select, but you must finish the level for the Target Marks to save. During Extreme some Target Marks are located outside of the map and can only be reached with long ranged weapons so pay close attention to the directions and what weapon the character is holding in the screen shots.
Target Mark Locations (Including Pictures
Note: During the Final fight on Extreme you must grab 5 Target Marks while fighting the boss. My suggestion is to get his health down to where he has about 1/10 of it left and then grabbing them, because it guarantees the win and you're not wasting time grabbing them in the beginning just to die.