They're called "Easter Eggs" and not just MS applications, but other applications from other companies have them. Even a lot of DVD movies have them. If you know the sequence (i.e. click here 3 times, go there chick there two times, hit this button ..) you may see some special sequences in the making of the movies that you would never know about.
(Look up the DVD of the movie Memento.)
The Easter Egg Archive
Someone told me that MS Office applications (Excel, Word, etc.) have some 'hidden' code in them that launches games, etc. Does anyone know how to access those? Just curious...

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