The first time I saw a piece of cheese in a level, I just said "What the HELL!?"  I thought it was just a one time thing, and that I wouldn't find any more.  Wrong.  I slowly found a piece of cheese in every level.  But one I had found them all, nothing happened!  No new cheats, no new options, nothing!  So don't bother if you are looking for something very cool, the game doesn't keep track of you seeing the cheese.  But here are the locations of every wedge of swiss cheese.

dataDyne:  Defection-  Go to Cassandra's office.  Look on the right wall, for a picture of a guy.  Take some explosives, like grenades or a rocket launcher, and blow up the wall by the picture.  Now go into the hole, and go to your left.  The cheese awaits.

dataDyne:  Investigation-  Go to the laboratory area.  Look for a lab that has a door in the back, which leads to yet another lab.  In this second lab, go to the computer station, and look at the glass floor.  On a pipe, you will see the cheese.

dataDyne:  Extraction-  Go to Cassandra's office.  Look on the right wall, for a picture of a guy.  Take some explosives, like grenades or a rocket launcher, and blow up the wall by the picture.  Now go into the hole, and go to your left.  The cheese awaits.

Carrington Villa:  Hostage One-  go to the cellar, towards the end of the level, the one with all the wine in it, and on the right side of it, towards the middle, there is a piece of cheese.

Chicago:  Stealth-  Go into the strip club Pond's Punk.  To get in, kill all but one of the guards at the bottom of the steps.  Disarm the last one, and if he pulls out a Falcon 2, disarm him again.  Wound him a little and he will run into the strip club.  Once you are in, turn to your left, and go into the bathroom.  Look in the toilets, and you will see the piece of cheese.

G5 Building:  Reconnaissance-  It's down by the Dampening Field Generator.  Look in the vent at the right angle, and you will see it.  This one is a bit tricky.

Area 51:  Infiltration- I dunno.  Do you?

Area 51:  Rescue-  Go all the way to the hangar.  There is a catwalk that goes across the hangar.  Go across it, and there is a vent there.  It's in that vent.

Air Base: Espionage-  I dunno.  Do you?

Air Force 1:  Rescue-  The cheese is behind some tanks in the room with the escape pod.  It looks a little weird, though.

Crash Site:  Confrontation-  By the airplane, there is a crack.  Look through it it with a sniper rifle the see the cheese.

Pelagic 2:  Exploration-  Go a little past the room with the power core in it, the thing you have to turn off.  Its in the floor, under a grate thing.

Deep Sea:  Exploration-  Apparently not even the Cetan ship is free from the cheese plague.  The cheese is on the left past the first big round door, a little buried in the sand.

Carrington Institute:  Defense-  Go out the main door, the one that was ripped off by a Skedar.  Go out, and the cheese is above that door.

Skedar Ruins:  Battle Shrine-  A piece of cheese even resides on the Skedar home world.  It's by the part where you blast through the wall, go to the area with the crack in the wall.  There is a shield right by there.  Use a sniper rifle to get the right angle.  The cheese is in there.