So who or what was in the submarine that Atlas/Fontaine had us racing to that Ryan blew up? Was it really Fontaine's family? ADAM? What could it have been? If they mentioned it somewhere, then I can't believe I missed it.

Opening Level: Diane McClintock-New Year's Eve Alone, Steve Barker-Hole In Bathroom Wall
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Hephaestus - Rapture Central Control: Suchong-The Vita Chamber, Suchong - Mind Control Test, Suchong - Baby Status

Never, ever kill Cohen in Fort Frolic. You have a chance to kill him later in the game at Olympic Heights, which will unlock both "Take a picture of his corpse" and "Accessed Cohen's personal quarters" Also, you get one of the weapon upgrades in the apartment

#01 - In Peach Wilkins' hideout (Neptune's Bounty), bottom floor. As soon as you come downstairs it's directly in front of you.
#02 - On the way to Farmer's Market in Arcadia, the station is located to the left after you go up the first stairs coming from Tree Farm.
#03 - The Winery's basement in Farmer's Market. There's a flooded area with one of them attached to the wall. It's in front of you when you come down the stairs, just keep going forward.
#04 - In Fort Frolic, from the Atrium bottom floor, go towards the bathrooms and then head right and follow the path until you see some some small stairs to your right leading up to a door. Go in there and go down into the basement. The basement is filled with cigars and the like. On the wall here is the upgrade station.
#05 - Go to Poseidon Plaza in Fort Frolic and go to the other end of the bottom floor (the opposite end of where you enter). Go into Sinclair Spirits (the room that has a corpse on a sort of "altar"). In the basement of this store is the station.
#06 - Hephaestus Core Room, go down to bottom floor and run around (literary) and eventually you'll see it attached to the wall.
#07 - Hephaestus, in Kyburz's office. Attached to the left wall (back turned to entrance) in the back of the room.
#08 - Bottom floor of the Mercury Suites area, on the back of the center pillar.
#09 - In Sander Cohen's secret room, Olympus Heights' Mercury Suites area.
#10 - Go to Atlas' Headquarters in Apollo Square (Fontaine's Home For The Poor area). It's located on the fourth floor. Go down the stairs in the room and look to the right and the station will be in front of you.
#11 - When you enter Point Prometheus and chase Fontaine, eventually you will end up in a little square and Fontaine will go behind a locked Museum door. At the opposite end, from where you came, of this square is a dead Big Daddy and next to it is the upgrade.
#12 - In the Voice changing labs in Point Prometheus, one of the labs has it.

I didn't realize there was a way out of Fort Frolic without killing Cohen. I presume you just run for the Bathysphere once he makes his appearance?

He doesn't attack you. In fact, he rewards you with the Medical Tonic in the glass case nearby. Just let the blowhart finish his speech and you can walk away.

That also makes Ryan's radio message afterwards make a lot more sense, as he talks about Cohen letting me go and I was thinking, "Let me go? The guy tried to fry me half to death!"

I started shooting at Cohen after I got the Medical Tonic from the case. I had him down to about a quarter of his health. I then died and when I came back to the area he was in, he was no where to be found. I don't know if he died, I assume he just went to wherever he goes if you just simply leave. I guess I will find out later in the game if I don't encounter him again.

they pop up at the stations where you can spend your adam, I'm sure you will see it next time you come across one. If you are fast enough you can see the girls coming in and out of the holes to drop it off.

As far as killing the daddies, shoot them...a lot. Honestly, they are just tough. Take photos of them enough and you increase your damage against them, that helps. You also get some hints when you take enough.

Shock, Shoot and Repeat. Explosive or electric shots work well. It will get easier. Just keep trying and keep taking pictures.

Electro Bolt 2
Rapid Fire Shotgun
Electric bullets