Um....... i can't really think of one right now, but i am sure that i have had one or more of those experiences. I think depending what the secret is it could really be anything. It could be thrilling because you are excited for what is going to happen.
It could be scary because you did something wrong and you don't want anybody to find out what it is, or what you did/didn't do. It could be a dangerous situation and you should definitely tell someone, and get help. like if you over hear someone plotting something bad then you should tell someone who could help.
But you never want to tell someone the secret if telling it could put you in danger, so you should tell someone but make sure that the person is either okay with you telling someone, or that they don't know that you are the one who told (but not like behind there back, only if it would help you and other people).