1. Tom Riddle's Diary: Found in the Chamber of Secrets by Harry and Ron.
2. Marvolo Gaunt's Ring: Found by Harry in the cave, which houses the locket Horcrux.
3. Salazar Slytherin's Locket: Found hidden in the same cave as the ring, but the locket turns out to be a fake, and the real locket is later recovered from Regulus Arcturus Black's grave.
The fourth Horcrux, Helga Hufflepuff's Cup, was found in *Part 2* of the movie.