There are a total of 10 Artifacts in God of War Ascension. These artifacts unlock special cheats such as infinite Magic. To use them you have to beat the game first. The artifacts are shown as small, white glowing spots on the ground. Collecting all 10 will earn you the "No Drake. You can't have these." gold trophy.
You can also get the artifacts via chapter select. Once you pick them up they are saved immediately. There is no need to reach the next checkpoint.