Grab all the other secrets to unlock the final secret (page 5). Well, d'uh.

Scanning all five databank items in each stage yields one secret. Completing the game yields one secret.

Beat Campaign mode on Hard difficulty setting to get alien Gray as a selectable multi-player avatar.

In the stage Life or Death, there is a small key on a dead soldier in one of the lifts where Cole starts the stage. Grab it to open the small lockers in the stage. One of the small lockers in the first power conduit pit has a databank item that upgrades the alien grenade (it now homes in on enemies).

Once Cole beats all the guys in the big room with the turrets, all you have to do is run straight at the turrets until you hit the gate. Then just aim up and shoot the turrets until the blow up. The turrets can't shoot back because they can't rotate far enough to aim at you.