Techniques and Blueprints
Sly will come upon Vaults in most stages that he goes through. He must find all the clues in the level to open these safes, even if he knows the code already. In these Vaults, he will either find a page of the Thievius Raccoonus, or the Blueprints of the Hideout he is currently in.
Finding a page will allow him to learn a special Thief Technique. This could be a combat maneuver or any number of things. The blueprints allow Sly to use his Binocucom to locate Clue bottles and breakable objects. Techniques are learned in a set order, so it doesn't matter what stage you find it in. Blueprints, however, are usually found in the third stage that you visit in a mission.
Techniques and Blueprints can be found on their respective pages here: