Before San Andreas, in GTA, you could just walk into buildings; no loading required. For instance, in GTA 3, you could walk into an Ammunation without a loading screen. However, San Andreas was an incredibly huge game, and so Rockstar had to find ways to keep the game running smoothly. One of their ways of doing this was making you walk into a yellow arrow and going through a loading screen for the game to take you to the interior.
You may be wondering where all these interiors are; they are actually high up in the sky, far too high to get up to using a jetpack or flying cars (you'll hit the height limit before you'll get up to them). With the interiors out of the way, the game can run smoothly at all times. By walking into the yellow arrow, the game teleports you high up into the sky into the interior of your choice. Walking into the arrow inside teleports you back down to the street.
Of course, not all interiors are meant to be accessed. Some are used for cutscenes, others are used for testing purposes (textures, etc). But, however, a discovery made about a year after SA came out made it possible to access every interior, even the ones that weren't meant to be accessed.
It's a simple trick that was found because of a flaw in the design of Ganton Gym that Rockstar overlooked: Ganton Gym has a hole in the roof. It's in the corner by the door People from the GTA Forum then thought "could you fly out of here with a jetpack?" As it turned out, you could. With a little experimentation, people found a yellow marker to the east, and entering this took them to a brothel that they hadn't seen before. This sparked people's curiosity, and it didn't take too long for people to find many interiors, and to find out that entering other yellow markers in this area took you to different "heavens" as they have been called, which had even more new interiors. Over 100 interiors have been found, and over 10 heavens have been discovered, but there is still lots more to be found...
You're probably wondering how you can explore these interiors for yourself. Here's what you have to do:
1. Enter the Ganton Gym.
2. Kill everyone inside (killing these peoples is necessary to fly around for some reason)
3. Enter the Jetpack cheat (left, right, L1, L2, R1, R2, up, down, left, right).
4. Use the Jetpack to fly up through the roof. You are now in the Hidden Interior Universe!
5. Look on your map and place a marker 2 blocks east.
6. Now here's the hard bit: getting there. You need to keep on the same level. You can't go too high or too low! Going too low will cause you to fall out of the Universe, and you'll be stuck high up in the sky with no option but to reload. An effective way to fly is strafing (R2 to go right and L2 to go left on the PS2) and tapping the X button at a steady rate. If you keep a rhythm while tapping, you should keep at roughly the same height level the entire time.
7. When you get to the marker on your map, you should hopefully be able to see a yellow arrow. If not, look up and down by pressing L2+R2 and using the right stick to look up and down. Fly up or down a bit if you still can't see it. If you just can't find it, reload. If you can see it, try landing on the invisible platform by it. It will take a few tries, but you'll soon land. Take off your jetpack (Triangle) and walk through.
8. You should now be in a brothel. Well done, you have found the Brothel Heaven! Have a look around. Fly around the area. There's more interiors to be found.
Using this site, you can find more interiors. On your travels, you might find yellow cones. These will take you into a different heaven; these individual heavens have even more interiors! The interiors from heavens other than the one you are in still exist, but you can't see them; they're just invisible. You might bump into them while flying around. Now that you know what the Hidden Interior Universe is and how to get there, check out the other parts of the site and start hunting!
