There are 12 fireflies in Shantae. Getting all 12 will allow Shantae to read the scroll in the Firefly Shrine in Water Town that will allow her to learn the Healing Dance. They only appear at night, and only in outdoor locations (so there's no point in searching in caves or labyrinths).
Because - unlike other collectible items in the game - Fireflies are only useful when you have all of them, it's best to leave the Firefly hunt to the end when Shantae is more powerful and can transform into the Harpy or Tinkerbat. This will make the whole process easier and faster.
The leftmost rocky part of this area (the one that features a vertical shaft lined with spikes) has this Firefly at its summit. While it's possible to get it with the Monkey and the Spider, it's far easier just to come back later as a Harpy.
Close to the right entrance is a tall climbable surface for the Spider. Towards the top there is a platform with two bats nearby. From there, drop to a platform just out of sight below that one where you will find the Firefly.