CannibalBob: Ah secrets secrets. I miss them, too. Actually, I don't think I've played many games recently that could have secrets in them... mainly because I've been doing plenty of multiplayer and RTS, so secrets just don't work with those games.
Anyway, some favourites of mine are:
Dopefish in Quake 2
Dopefish in any game :D
"Moon" secret in Keen 4... where you stand on that part in the pyramid and keen moons you! :O
Wolfenstein level in Doom :D Friggin awesome
Serious Sam, holy crap this game had the most amazing secrets. I remember seeing a giant pair of eyes floating in the air... (so creepy, but surprisingly easy to miss) but a giant guy appears when you shoot them! THEN HE EXPLODES. Insane.
The game that disappointed me most was Half Life 2. It had so much potential for awesome secrets, what with the gravity gun and the ability to "pile stuff up". I actually got to some places I wasn't supposed to but there was nothing :( So disappointing!
Anyway the secret that gets the cake is DOPEFISH. Holy crap, it blew my mind to see so many games that have DOPEFISH in it as a secret... Jazz Jackrabbit, Max Payne, Quake 2, Duke3D (check it out at dopefish.com) etc. I wish more games these days have the DOPEFISH SECRET
The most recent game that I know of that had secrets was Sin Episodes: Emergence. Sadly they only got one episode out before going under, but the game was very good. It even had the Dopefish in it.