These are the purple, rotating spheres that are spread across each level and are waiting to be collected by the player. There are ten available in the first level, and fifty available in every other level - totaling 460 GyuGyu available to be collected in the entire game.
For those who aim to 100% the game, see if you can collect all of the GyuGyu without dying, or you'll have to start over from the beginning.
There will be a counter that will display how much you have collected, however, it will not currently be saved if you reload the game after quitting.
While some are in obvious spots, others might be a little harder to find, adding more complexity and time to your gameplay. How fast can you finish the game while collecting them all?