Episode 1: "Marooned on Mars"
In Keen 1, the hidden bricks are all in dark areas - look for a gray square in the upper left corner (this tip comes from a Yorp statue as well).
To get to the Secret City in Keen 1, go to the city on the "east" (dark side) of Mars that's about at the planet's Equator. If you go to the dark area at the bottom of that city and head right, you'll find a teleporter. (You have to jump on a hidden brick, over a ledge, then get yourself caught in an ice-launching machine which will propel you over the next wall) This takes you to the hidden city.
Also, if you go to the green city just before the teleporter on the light side of Mars ("left" side, "west" side) and go to the Garg in the yellow tube, and get him to chase you, you can make him "jump" in midair by running left and letting him follow you at his highest speed. It's not really useful but it looks neat :)
If you hit the function keys really fast, it fargles the screen something weird! Walk around... pressing the fire button warps you at random sometimes (and makes another way to "clip" on the Mars map.) Don't do it on a level or you die -- do it on the map. :)
Episode 2: "The Earth Explodes"
The signs near the Tantalus Rays read "TANTALUS ". If you can't find the Standard Galactic Alphabet, you can translate a lot of the cities. Write down the symbols, then when you leave the level, see what city you saved and match them up.
When you are standing by the Tantalus Rays in CK2, do NOT pull the switch !! It zaps earth1 (The sign over it in the Standard Galactic Alphabet reads "ON").
Episode 3: "Keen must Die"
The Mangling Machine - First wait for the left laser. Then jump to the platform it hit and take out the top 2 marks. Then drop to the bottom left corner. Pogo up when the Green Glob isn't shooting left and take out the bottom left mark. (It's hard to not hit the machine but it can be done). Then work your way to the right using the spots you won't get crushed (there are 3 and you have to use them ALL one at a time). Then do the bottom right one like you did the bottom left. Then pogo up high and take out the top 2. This breaks the outer legs. Then shoot on level with the heart to destroy the machine entirely.