They are scattered throughout Temple Gate, usually found in medical kits. Whenever Blake is damaged, he can quickly wrap a roll of bandages around his wound (which always seems to be the top of his left forearm) to better his condition. This, however, takes a few seconds and can be disrupted by nearby enemies. Blake can only carry up to three sets of bandages at a time before he can grab any more.
If Blake sustains heavy injuries (evidenced by blood splatter on the edges of the screen), his vision and movement will be slowed down and impaired. Heavy injuries will not be healed itself therefore a bandage must be applied otherwise an instant death will be inevitable.