There are a total of at least 39 Crimson Lance Chests. They concentrate mostly towards the Armory end of the Parched Fathoms, as there are only 5 of these chests North of T-Bone Junction.
The Ridgeway: 1 Chest
Sunken Sea: 2 Chests
The second is located in a raised shack near Midgetville. It can be reached by jumping off of the catwalk directly under the side of the overpass, aiming for the side of the shack with the walkway.
Lockdown Palace: 2 Chests
The two Crimson Lance Chests in Lockdown Palace are located side-by-side on the top floor of the jail, just outside the cell where Athena is held. Only one Crimson Lance Chest is present during the mission Rendezvous. A second chest can be encountered after the mission is completed.
Crimson Tollway: 1 Chest
The Crimson Lance Chest found in Crimson Tollway is the first to be encountered. It is at the roadblock along the highway, immediately west of the switch to shut down the roadblock in the mission You've Got Moxxi: Roadblock.
Deep Fathoms: 1 Chest
There is only one Crimson Lance Chest in the Deep Fathoms. It is located at the far end of the Energy Bridge that leads to Road's End, but is only accessible via the lower bridge and the huge pistons activated in the Bridging the Gap mission. The pistons can be used as elevators to make the ascent up to the hidden cache. It is possible to reach the Crimson Lance Chest after completing the Bridging the Gap mission, however it requires patience and great timing.
Road's End: 8 Chests
Five of the Crimson Lance Chests in Road's End are only present while the mission Lost Lewts is active. For farming purposes, to ensure that the chests continue to respawn fresh loot, only four of the chests should be accessed. Once all five stashes on the Lost Lewts mission checklist are checked, the chests will no longer appear. These chests always spawn at level 55.
One of the Crimson Lance Chests is only accessible from where the mission Bugged is completed. Players must ride the gondola up, continue through the top area, cross the bridge, and drop to where the chest is located, above the open area where Drifters are first encountered in Road's End. This chest will be level 61 in Playthrough 2.
The final two Crimson Lance Chests can be found on the approach the Crimson Armory. They can alternate between three different positions near the Crimson Armory side door. One of these chests will always contain a Crimson Shorty.