Like others on here, I am happy to suggest a jokey "don't tell Mummy" secret to my young DGCs (4 & nearly 6) after allowing them an extra treat, knowing full well that it will be the first thing that they tell her when she gets home.
Now that they are getting older, I am starting to raise the issue of "good" versus "bad" secrets with them. Only last week, I saw a list of names that the eldest had written. When I asked him about it he said that they were his gang, but that it was secret. I smiled, and said that it was sometimes nice to have secrets, but I used the opportunity to differentiate between nice secrets (those that are "fun", and don't hurt anyone, as opposed to those that are about something bad, something that might be upsetting/hurting him or someone else), and said that he should always tell Mummy or Daddy - or any othergrown-up he trusts - if someone asks him to to keep a bad thing secret. The average child is not stupid, and at his age can understand the difference between these two types of secret.
I suspect from some of the other replies that I will be bombarded with replies saying that secrets are secrets, and they are all bad, but I disagree.
The way I see it, we are better preparing them for life with this approach than we would by teaching them that all secrets are bad.