As of now, there are four kinds of butterflies in this game.

• Blue butterflies
  You can collect the Blue butterflies and they will grant you more Time Cubes upon defeating horde waves. Keep in mind, you have to have collected a blue butterfly, then you can deposit it to a horde, and then you can collect them. Afterwards in your next Time Warps, they will give extra Time Cubes as well (without having to recollect them) and that makes the Blue butterflies a permanent reward that is definitely worth your time collecting.
  
  
• Red butterflies
  The Red butterflies gold-wise really aren't very useful unless you're doing a very deep run, but thankfully they give another reward that is very very useful: They increase the rainbow butterfly reward! More of this is explained in the Rainbow butterfly paragraph.
  They will grand you their normal gold bonus on the end-boss/planet boss of a planet, which are on the last zone of every planet.
  
  
• Yellow
  You will find these at the end of the planet, in the same zone as the planet boss.
  The collected Red butterflies will turn into Yellow ones which finally grant you your gold bonus!
  The Yellow butterflies can not be collected, they are just there to hand out your gold rewards from the collected Red butterflies.
  Just like the Blue butterflies, the gold rewards Yellow butterflies give are permanent and you do not have to recollect the Red butterflies after Time Warping.
  
  
• Rainbow butterflies
  Rainbow butterflies are, technically, not permanent rewards. They give extra gold based on your gold earnings rate. Normally, upon collecting them, the Rainbow butterflies give an extra gold boost which is, normally, based on 5 minutes of your best gold earning rate. Rainbow butterflies have a random chance to spawn anywhere between 5-10 minutes, and they are definitely worth collecting. Especially in deep runs, when you're struggling with damage.
  
  Now, as mentioned before, the Red butterflies give more rewards then just gold: An increase to your rainbow butterfly gold! For every Red butterfly collected, they add 1 second extra to your Rainbow butterfly gold reward.
  
  For instance:
  The normal gold reward you get when collecting the Rainbow butterflies is 5 minutes. Let's say i have collected 600 Red butterflies, all of them from zone 1 to zone 600: I will gain an extra 600 seconds of gold from the Rainbow butterfly, and thus my Rainbow butterflies will now give a grand total of 15 minutes of gold!

If you missed a butterfly, just go back to find it.
You can return - any time in your current timeline - to the zone of the world where your found butterflies to deposit them and claim their rewards. There is no need to Time Warp in between collecting & depositing your butterflies. Both can be done in the same run, and after collecting them for the first time you will soon notice the difference!

As mentioned before: All Blue, Red and Yellow butterflies are permanent rewards.
If you got all the Blue, Red and Yellow butterflies from zone 1-100 you will have them permanently, no matter how often you Time Warp.

In general the butterflies are

• easy to find
  
• hard to find
  
• easy to get
  
• hard to get
  
• combinations of it

They are never unfairly placed and at most a little tricky to get.
Not all the time you can reach them within the same zone they are located, maybe go back one or two zones to try and climb up or find a good route towards them.

Red butterflies
There is 1 Red butterfly in each zone. Most of them are easy to find.

Blue butterflies
There is 1 blue butterfly in each group of 10 zones.
The good thing about these are that you can always spot them from the roads, but sometimes they are hidden quite well. If you can't find any, be sure to calmly walk up and down the road again while you look in every possible direction.

Hint
Personally i find the Blue butterflies ones much more rewarding, and therefore I try to get them first.
The red ones i catch when i spot them, but i don't excessively search them, unless I'm doing a very deep run and i need a bit of gold from a planet-boss to help advance a little faster.

You might ask why i am not telling you where they are located?
I could do, but that would destroy the fun of getting them and looking for them.
It might sound tedious to get them and if you want to collect all of them at once it definitely is. Speaking from personal experience, don't try to collect them all at once. They will make you suffer, and be in complete pain as you try to find "that last butterfly", just because you can. My advice: Don't. Collect them when you feel like it. Don't make it feel like a tedious thing to do.


Here, we listed some little tricks to get them either faster or find a few you really can not find.

• Don't idle if you don't have the butterflies found.
  This means that you can actively look for them while you travel the planets!
  Let the Turret and the Drone take care of the enemies, while you look and collect the butterflies.
  
  
• When you didn't find all of them while travelling from zone 1 to 100 ( or 101 .. 200 etc ).
  Just walk back the way you came. You will find many of them you probably overlooked, just because they are out of view from the side you came from.
  
  
• Try to get a high spot and look carefully, don't dash around like sonic because you will forget which little corners you've already looked in.
  
  
• Some butterflies might really need you to search for them but that is only a few zones.
  It can be expected that you do a little work on them.
  
  
• Take a break when you don't find them.
  Most of them are not super-hardcore to find, you're probably just tired of watching you monitor.
  Give it a try the next run.
  
  
• One good tip from EVIL Gibson, especially for one specific area, is sometimes it's easier to go through a door and use the terrain on the other side to climb on top of a boss/horde room.
  
  
• As a last tip, added in Update 7:
  When you're in the hoverbike idling through zones, make it worth your while by going into ghost mode, and collect the butterflies with your newly added Free Roam Camera!

Orbit

• 10/20/etc k+ Years in the future will tell you (upon hovering your mouse over the specific Timesets) were you missed some Red or Blue butterflies.
  
• Doing the same over the planet selection will tell you with a little more detail if you've missed any butterflies on that planet.
  
• Hovering over the zones will show you if you've missed any butterflies in that specific set of zones.

Down on the Planet

• In the lower left corner you get indicators if you got the butterflies for this zone (Red) or group of zones (Blue).

• Do not use the dash (SHIFT by default) while on the butterfly hunt, just walk and look carefully.
  
• Set the Zone-View-Distance to 1, because it can help you spot butterflies
  
• It might help also to reduce all details to a minimum (Qualtity preset = Low) for the butterfly hunt.
  
• Set Field of View to like 100 or whatever you can work with to see more on your screen.

If you still don't find them you can check this post from Darkness who noted them down.

You should be able to go catch them all now,
Have a Good Hunt my friend!

Should you have more ideas or did you find something out-of-date?
Feel free to leave a comment.