There is a hidden basement area in New Haven that requires a couple of conditions to be met. The basement includes several enemies you must beat, plus a couple of loot chests (One of which always includes the Rider, a scopeless sniper with low damage, poor accuracy for a sniper, high fire rate, large clip, and 150% Critical Hit Damage). The scene here is a sort of twisted Christmas for bandits.

The conditions are as follows:

1 - Complete the "Jaynistown: Cleaning Up Your Mess" to unlock "Another Piece of the Puzzle" mission (DO NOT DO THIS MISSION!)

2 - Complete (BUT DO NOT TURN IN!) the mission "Jack's Other Eye". You need the eye to access the secret area.

3 - In New Haven's town, head towards the back alley (If you've spawned facing the entrance to the town, turn around). If you look a bit up and to the left from the New U station, you'll see a large arrow. Follow it (it'll lead to a smaller white arrow which points to an alley, follow that down and you'll see a guy who offers a couple of missions related to Jaynistown). Opposite of him there is a small one story building with a door and a mailbox. This is the entrance to the secret area. Enter it and take the lift down.

You can save and exit after clearing out the area and reload as much as you like, but access will be cut off if you either complete "Another piece of the Puzzle" or turn in "Jack's Other Eye."

You can view a Video that shows and explains how to access this special area Here (Youtube HD)