There are at least three secrets in this game that have yet to be discovered. I only managed to find the first two with the level editor, so I can't exactly say I did it legitimately, but it seems unlikely that anyone else will ever manage to do it. So here's how it goes.
Elephant:
This one isn't too hard. Play the third level of Aurora's North in Alternative Mode. There's a secret passage you can see on one of the screenshots that'll let you uncover it.
Sheep:
J mentioned its existence years ago, but nobody managed to find it. Not that I blame them. It's tough to figure out. Play the second level of Aurora's North in Alternative Mode and knock yourself against the slope to the right of your starting point with as much speed as possible. Then quickly change direction once airborne. All levels actually seem to have an invisible ceiling that you can knock against if you gain enough height. If your rolling direction is adjusted in time when you hit it, you'll move to the right and into a hidden passage in the second screen's wall, allowing you to uncover the sheep.
Orb:
I learned about this from Nifflas, but even though I managed to determine its location in the levels' INI files, I still can't actually get there. It's located in the 13th level of Skymning in both modes. The arrow on the screenshot shows its precise location. What I know from Nifflas is that you're supposed to bring along a small box and use it as a ramp. I would assume you're supposed to place it somewhere on the slope on the first screen, but even after spending a lot of time trying out many different locations, I still couldn't quite manage to launch myself onto the orb's structure. Can anyone figure this out? Note that Nifflas doesn't seem to know if this secret can be reached in anything other than the game's SD version.