Yes I have had a secret that I should've told. I can't remember exatly what it was, but I knew I should told it. I eventually told it, because it was something someone needed to know about. If it was a secret someone told me and they said not to tell it I probably wouldn't.
It's hard to keep a secret you know is dangerous and it eats at you and the guilt gets to you for not telling it, even if it's a secret someone told you and you know is dangerous it still eats at you.