I can't seem to find a few of the Stones, so, is there a list available with the location of all the stones?
You're tasked with finding these for the "No Stone Unturned" quest.
From the UESP:
The stones are located in the following places:
- Dark Brotherhood Sanctuary (Astrid's room)
- Whiterun Halls of the Dead Catacombs (in the first room, go down the left stairs and it will be to your left)
- Mistveil Keep in Riften (Jarl's room)
- Proudspire Manor in Solitude (has to be purchased for 25.000 gold)
- College of Winterhold (Arch-Mages room)
- Dragonsreach in Whiterun (Jarl's room)
- Jorrvaskr in Whiterun (Kodlak's room)
- Dead Crone Rock (On the table near the 'boss')
- House of Clan Shatter-Shield in Windhelm
- Black-Briar Lodge east-northeast of Riften (Second floor bedroom, next to bed)
- Ansilvund Burial Chambers (northeast of Riften)
- Wuunferth's Room in the Palace of Kings 2nd floor (Windhelm)
- Stony Creek Cave (South of the Eastmarch Imperial Camp, last room on the table)
- Rannveig's Fast south of Morthal, northeast of Rorikstead (after falling down the trapdoor in fron of the chest and dragon-word-wall)
- Fellglow Keep northeast of Whiterun (straight up the stairs and to the right)
- Dainty Sload (A ship along the coast southwest of the Solitude Lighthouse)
- Sunderstone Gorge (Right of the alchemy on a table with skeletons)
- Solitude Palace (Queen's room)
- Yngvild, between Dawnstar and Winterhold (Very last room near the end)
- Treasury House in Markarth (End table in Thonar's bedroom, which is the left from the front door)
- Dwemer Museum in Markarth, entrance to the right as you enter Understone Keep (Table in room to the Left)
- Thalmor Embassy (Elenwen's Solar, second floor, first bedroom on your left) (Or in the cave through which you escape, after jumping from the ledge, on a small table beside a skill book and dead mage.)
- Hob's Fall Cave (Near the alchemy set on the left)
- Pinewatch - House Northwest of Helgen with a Bandit hideout underground. Gem is in a storeroom before the 'boss'.
Now there are also mods that place map markers for them or otherwise make collection easier:
Knowing where to find each of the Stones is half the battle, but this info can easily be found online, for example in the UESP wiki mentioned by the Accepted answer, or on the Fandom Elder Scrolls wiki.
The harder part is often keeping track of which ones you've already found, because you're basically on your own for this. My wife and I used to use a Google doc to track them, but for multiple playthroughs it gets tedious to reset the list. I ended up building a mobile app (aptly called "Barenziah Tracker") to help with this - it includes location info and screenshots from the Fandom wiki, and lets you check off each stone as you collect it, with independent lists for multiple playthroughs. Here's the link for iOS, and here's the link for Android. Hope that still helps someone enjoy this timeless game.