I know that for example certain organizations can catch the connection right in front of the house. I know that they can catch the email address and also instant messenger messages, but what about domains which are being visited, can they catch those too?

My questions are as follows, how exactly are they doing that and how can that be avoided?

As of now I'm using a quite good VPN, and I'm wondering is that secure enough? I've also a secret SSID and I'm not using the key which is on my router imprinted.

if u r using a VPN, there is no way to sniff ur traffic, unless they have the secret key VPS is using. other thing they can do is go to VPN ask them to present the traffic, or just listen the unencrypted traffic after VPN and figure out which one is urs. thats why select VPN in another country, as laws are different and its hard to approach VPN.
another thing is to make sure no one is connected to ur network, as they can see traffic before it gets encrypted (arp). disable "manage router" via wifi, use wpa2 aes (not tkip +aes). ping ur router, u should get only 1 hop, if u get more, means u r poisoned.

Also, make sure there's no malicious software on your actual computer. You can pipe your connection trough as safe a tunnel as possible, but it's of no use when they're listening at your end of the tunnel.

Makes all sense, thanks.