There are several little secrets and easter eggs that can be seen once Link gains the ability to merge into walls:
Merge into the wall in Link's house and slide behind Majora's Mask to make it seem as if he is wearing the mask.
Many houses in Kakariko Village have portraits and paintings that Link can merge behind, such as a mask of Makar from Wind Waker, a Cucco head, and even a Skull kid head in Thieves' Town.
The Stylish Woman in Kakariko blows Link a kiss whenever he enters the house, but she's also gotten lipstick on the right wall. Merge along the wall to see what Link looks like with lipstick on his face.
When you enter Hyrule Castle with the Master Sword, Link can merge along the paintings to retell the events of Link to the Past by taking the place of the Link in the painting.
Link's appearance while wall merging differs depending on the tunic he has equipped and if he is holding a lantern. Even the border that forms as he merges changes color depending on his tunic.