That's interesting. Even any PCs with hidden identities and secret agendas that run contrary to those of the party at large? Do you find that the added fun of letting everyone in on it from the beginning outweighs the loss of the "big reveal" scene or the surprise for the others as the truth unfolds?
I share pemerton's preferences on keeping it mainly open. I like it better for two reasons:
1. The player knowing things that the character does not makes roleplaying easier, at least at our table. No big reveal can possibly compete with spiced up roleplaying, for each player, compounded over the life of the story arc.
2. On the other hand, the big reveals that remain are even better! First, they aren't necessarily expected. In a normal "secret" game, people are sometimes surpised by the details of the reveal, but they aren't surprised that there is a reveal. Second, I can leave, say, 5 or 6 potential big reveals out on the table, like the Purloined letter. The players will catch onto some right away, which makes them feel clever. And then the ones that last until the "reveal" seems "big" pack an even bigger punch.
I like to run with a lot of "secrets", but the idea is that they will be uncovered. The practice is that some of them will not. That is enough to manage without handling what the players hide from each other. I can be clever and work really hard, and get a surprise. Or I can use lots of stuff, some of which will surprise, and let human nature of the players do all the work.
Using the latter techniques are the only times I have rendered players practically speechless. "Waah ... (mouth open) ... (quite voice) ... but it was laying out there all that time, and you never gave it away ... how ..." Easy, I just let you guys distract yourself with all that other stuff that you knew about but the characters did not.
All that said, if a player requests that something be kept secret about their character so that they can do a big reveal--or a gradual one--or just seem mysterious, then I'll work with them. This happens infrequently enough to not be a hassle, and the atmosphere described above makes it not stand out too much. I'll sometimes pass secret notes to a player that says something like, "Do not reveal the contents of this note. Look nervous."