Covariance representations are developed for the uniform distributions on the Euclidean spheres in terms of spherical gradients and Hessians. They are applied to derive a number of Sobolev type inequalities and to recover and refine the concentration of measure phenomenon, including second order concentration inequalities. A detail account is also given in the case of the circle, with a short overview of Höffding's kernels and covariance identities in the class of periodic functions.