Secrets Are found throughout the Serious Sam games.
They can be found on most levels. They can be various items (health,armor,ammo or even weapons) that are scattered through hidden level areas that can be reached with various methods (pulling a lever, finding a darker spot in a wall and running through it, or finding a small area that leads to a secret one). Some secrets will spawn some enemies which can be hordes, especially the "tricky" ones (small health/armor items or big health/armor items). They are not required in order to complete a game, but some can be useful.
Generally, a player should avoid some secrets (especially "tricky" ones) if he/she has low health or ammo, as some may spawn enemies that could eventually kill the player.
As Serious Sam is considered a comedy, most of the humour is found in the secrets. Including the Yoda secret from SS: TFE.