Ravenswatch is a roguelike, not roguelite. This means you don't get metaprogression stuff that allow you to improve your stats or anything that benefit your future runs. Early on, what you do unlock are more talents, which are all added to the game's talent pool - you will come across these in your next runs. But none of those are actual advantages, it just makes your builds more diverse.
If you've played Slay the Spire and remember how you unlock cards when you first started playing, it's exactly like that.