They unlock portals to different areas.

If you walk up the river, you'll see a waterfall. To the right is a giant with a paragon. To the left is some "steps". After killing the giant if you didnt already, walk up those steps, and you should go past the waterfall. Keep following the river til you see another waterfall. Again, to the right will be yet another giant, and to the left, a sort of arc with a device you can interact with. You put the paragons in there and they lead you to different places. Look for the falmer in the place you go to with the ruby paragon. He's got sumthin special!