There are many types of scale. Major, minor, chromatic etc. You can also find different modes. Also scales don't always start from the first degree and and can be broken in thirds, fourths etc. So they can be a bit "hidden" sometimes.
As for arpeggios, they may be in root position, first, second or third inversion so here again it might be a bit of a challenge to find them if you haven't done a couple of years of theory class.
Once you've identified the scales and arpeggios. You will hear your music better and instead of playing each note separately, you can play the scales and arpeggios without having to focus on the notes alone. This will increase your ability to anticipate the music thus making your playing more relax and fluid.