#1 � Stranded Graveyard
#2 � The First Step
#3 � Cave of Knowledge
#4 � Church of Elleh
#5 � Gatefront Ruins
#6 � Groveside Cave
#7 � Stormfoot Catacombs
#8 � Coastal Cave
#9 � Church of Dragon Communion
#10 � Limgrave Tunnels
#11 � Agheel Lake North
#12 � Murkwater Cave
#13 � Murkwater Coast
#14 � Murkwater Catacombs
#15 � Saintsbridge
#16 � Deathtouched Catacombs
#17 � Highroad Cave
#18 � Summonwater Village Outskirts
#19 � Artist's Shack
#20 � Mistwood Outskirts
#21 � Waypoint Ruins Cellar
#22 � Fort Haight West
#23 � Agheel Lake South
#24 � Seaside Ruins
#25 � Third Church of Marika
#26 � Stormhill Shack
#27 � Castleward Tunnel
#28 � Margit, The Fell Omen
#29 � Stormveil Main Gate
#30 � Gateside Chamber
#31 � Stormveil Cliffside
#32 � Rampart Tower
#33 � Liftside Chamber
#34 � Secluded Cell
#35 � Godrick, the Grafted
#36 � Limgrave Tower Bridge
#37 � Divine Tower of Limgrave
Among other things, Sites of Grace serve as checkpoints. If you die, you will respawn at the Site of Grace with which you have most recently interacted with.
There are as many as 38 Sites of Grace to be discovered while exploring the Limgrave region.
Because some of them are in caves, you'll have to stick close to the walls to locate their entrances. You might also need to descend a level to reach them.