There are challenges on all of the planets to open chests in the Lost Sectors. What exactly is a Lost Sector and where are they? I can't seem to find anything labeled this on the map or in game anywhere.
Lost sectors are small caves that are found all over destinations. They are marked in the world by a symbol of a dot with 2 arches above it to indicate the somewhat hidden entrance nearby. They are completed by killing a yellow-health barred (sometimes named) boss and acquiring a cache code and then opening the special chest at the end. There are lots of other enemies that will get in your way but they can be killed or ignored if you wish. Once completed the first time, the symbol on the map will become grayer but still noticeable for you to find again and redo for more loot or to complete a daily challenge.