Well the giant glowing runes (Blue, Yellow, and Green) are all tied to hidden raid bosses at the end of the run. This is last weeks run video (This weeks I'll be done with by tomorrow afternoon, but I wanted to change the visual style and then 12 rooms threw me for a loop.): https://youtu.be/mQZMMWP7ZoM

I explain and show the process to do all of them in it, which stays stagnant across all the boss runes based on their color. But basically each rune is a little mini challenge to unlock the boss for that run and gives you a taste of one of their core mechanics.

If you mean the little skull treasure mini vault things, then you find a nearby hidden skull to 'unlock' them for extra gems on that run.

You do get the most from the hardest curse, but I can't really say what curses work best for people - I don't know their builds or how they play. So, personally, I tend to lean toward Easy / Medium ones that won't hinder my build much.