There are six found so far, but there may be more. I've only found the first four, so credit has to go to Todd Schlickbernd and SnapDragon for the last two.
Black Market - there's a hidden door (use bombs or the mattock) on most levels that goes here. The huge eye (from the gold key chest in the mines) helps find them.
Worm - on any level with one of those floating pink spiky things that you can jump on (mostly in the jungle levels) throw a stunned damsel so that they stick to it and then jump on yourself. After a few seconds you will both be swallowed by the worm. Strangely, you still get the kiss for doing this :-)
Haunted Castle - when you get the "Dead are Restless" message at the start of a jungle level keep an eye out for a large grave with a buried skeleton wearing a crown. Destroy the ground below the skeleton king to find a secret door. Also look out for any graves with ASH written on them - destroy the ground below for a boomstick :-D
Mothership - on the final ice level there's two exits. The one at the top goes to the mothership. You will need lots of rope or the jetpack.
City of Gold - really hard to get to this one:
You must get the eye from the mines, I don't think finding the Black Market otherwise is enough.
You must get to the Black Market and either buy the golden ankh or kill all the shopkeepers.
On one of the ice levels (3rd section) there's a giant stone head with an ankh symbol on it. You must die near this, without using bombs.
You will appear inside the stone head next to a golden pointy crown
In the temple area kill an Anubis, they will drop the Sceptre:
Finally walk over the large golden block with a hole in it - if you have everything
Hell - I haven't made it here yet, so I'm going by the guides of others:
- Get to the City of Gold
Recover the Necronomicon:
This will spawn a new Anubis. This one spawns lots of red skeletons. You must kill him.
- After the final battle the door to Hell will open above the final boss's head. It has no floor, so the jetpack will really help here.
