Sprites are collectable companions that can be equipped each time you run and will provide depending on the sprite certain extra benefits such as longer Dash times, extra rings, bonus revives, and more power-ups. There are two types of sprites, 'one use' which are single use sprites and 'forever' which are sprites that can be used as many times as you want. Try to upgrade sprites as often as you can as doing so will improve their benefit substantially. The first equip slot for sprites is free but subsequent slots must first be unlocked which is worth doing as soon as possible because of the benefits equipping sprites offer.