Secrets аre found throughout the Serious Sam series.
They can be found on most levels. They can be various items (health, armor, ammo or even weapons) scattered through hidden areas that can be reached via 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, (although if you want to unlock an achievement for finding all the secrets, then finding them is a must) 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 kill the player.
As the Serious Sam games are considered a comedy, most of the humour is found in the secrets, e.g. the Yoda secret in the First Encounter.