Sir Lovelot (HP)

There are 20 diamonds total that you can collect. But you need only 5 for this achievement. They appear in the 3rd and 4th worlds.

Here's a video showing the first 5 you can collect in world 3, Spookyland.
^{video from newstirum94 on YouTube}
00:04 - 1st diamond, 3-1 "Up spook hill"
00:50 - 2nd diamond, 3-2 "Til death do us part"
02:10 - 3rd diamond, 3-3 "In the hair tonight"
02:46 - 4th diamond, 3-4 "Level 26"
03:41 - 5th diamond, 3-5 "Burning the midnight oil"