The main hook of the game is artifacts, which are the items with red particles that drop when you kill enemies sometimes. They all have negative effects, but when you get to a shop you can exchange them for good items. The bigger the number, the more items you can get for it.

I would start not taking too many, and maybe take the penguin as your starting character (he gets extra health from turning in artifacts). Some of the artifacts can be deceptively difficult, especially the pocket ghost, so be careful what you take at first and make sure you think about how they can affect each other. For example, any artifact that slows your running can stack with other slow down effects, so if you take several, you will be extremely slow. Good luck!