It can take several forms, such as government thinking re fiscal policy, details of a company's latest model, a game plan adopted by a sports team, or simply the whereabouts next weekend of Janet whom John has a crush on but Janet wishes to avoid.
Governments and business organisations worldwide protect their sensitive information by not revealing it to employees and others not entitled to know of it, and by asking those who are entitled to know of it to sign pledges that they will never reveal it.
In the United States of America, Sensitive Information is broadly described as: information, the loss, or misuse, or unauthorized access to or modification of which could adversely affect the national interest or the conduct of federal programs, or the privacy to which individuals are entitled to under 5 U.S.C. Section 552a (the Privacy Act), but that has not been specifically authorized under criteria established by an Executive Order or an Act of Congress to be kept secret in the interest of national defense or foreign policy. (Source: from Federal Standard 1037C and from the National Information Systems Security Glossary).