Relics

[The Macho Man]

Do they do anything or are they just collectibles?

[Frost_Ermine]

They're mostly just collectables, though...

...there's a Black Market item that slightly increases your XP mulitplier for each relic you've found.

...each relic or lore page, including duplicates, you find on a run gives you 100 points, which can help when you're going for the score achievements, especially the less-forgiving Bad Billy Bullseye one.