Health Upgrade 1 (Sunshine Valley)
Right next to the shed near the Gold Cube for the mission "Jumping on Jumping Pummies".
Health Upgrade 2 (Chilly Cool Frozen Mountain)
To the left of the entrance, there is a brick building that can be broken with Rage Mode. The health upgrade is inside.
Health Upgrade 3 (Giantbit Islands)
On the ice island, there is an igloo you can crawl inside next to the pig who has lost his marbles.
Rage Mode
To unlock Rage Mode, win the first fight against Fat the Cat in Fat the Cat's Den, which is unlocked after collecting 24 Golden Cubes.