I don't think developers make much of an effort to ensure saves are hidden or unhackable. PC games usually just save out to a folder, one file per save, and any obfuscation is likely the result of using a binary file format (which requires some level of effort to reverse-engineer) or plaintext values that aren't very meaningful out of context, but not deliberate attempts to circumvent hacking. There are probably a ton of PC games that have shipped with very easily hackable text or XML save files, but I've never been a save hacker so I don't have any specific examples. On consoles the save files are going to a memory card or the console's hard drive, which makes them inherently inconvenient to access, but beyond that I don't think console developers make much of an effort to encrypt or otherwise obfuscate save data. That energy would more likely be directed towards securing the game against cheating if it's on online game or just making other systems work better.
Special file extensions come from just using your own extensions and/or defining your own file formats. You can use any extension for any file, so there are tons of "special" file formats that are just text files with a different extension, I've done this plenty of times myself. In other cases, if they have defined their own binary file format, that means they also have their own file parsers to process those files at runtime.
I don't know what platforms you have in mind, but for PC and console games, resources are not embedded in the executable. You will generally see a separate executable and then various archives and configuration files. Depending on the game, it may be a single resource pack, or perhaps a handful of packs for related resources like graphics, sound, level data, etc. As a general observation console games are more aggressively archived (to minimize file operations on slow optical media, and perhaps to overcome limitations of the native file systems on more primitive platforms). Some PC games have very loose assets, with even script files hanging out in the open.