Each level has a hidden challenge room, in which there is a secret scroll.  Generally they will contain the same type of environmental challenges you've already faced in the level itself (e.g. if you've had to deal with explosives and traps, they will likely feature in that level's challenge room).  The reward for completing a challenge room is a scroll (for the first time) as well as +1000 score bonus.

Also a requirement for certain achievements.

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