From The TimeSplitters Wiki

The Challenge Set, TimeSplitters Story Classic, can be found in TS2 and TS: FP. The Set is a homage to the original Story Levels of TS1, which consisted of starting at one point of a level, going throught it to collect an item and reaching a designated location, usually found at or near the start of the level.

TS2:

• Badass Buspass Impasse
• But Where Do The Batteries Go?
• Hit Me Baby One Morgue Time

TS: FP

• Queen of Harts
• Sammy Hammy Namby Pamby
• Glimpse of Stocking