What do they go in to vote secretly in?
Most elections in democratic countries.
It's important to vote because we have the right to vote. You should also vote because if you want someone to win an election you might be the deciding vote. If the people who did vote for George W .Bush didn't go and vote for him he might not have become president. That's why it is important to vote. Also if you are 18 or above you are encouraged to go vote.
In a totally free and fair society, of which there are none, secret voting would not be necessary. Each franchised person would vote openly without let or hindrance. Unfortunately, in many ballots, others may try to influence or coerce you to vote in a particular way against your judgement. Secrecy is an attempt to prevent such coercion.