As you die, and die again, you earn currency that can be used to unlock permanent upgrades.
In Hades, your goal is to escape Hell. This is easier said than done, given just how many bosses, enemies and secrets block your way. As you die, and die again, you earn currency that can be used to unlock permanent upgrades. After a while, you'll get a feel for the bonuses and abilities that are right for you, creating mini-builds that form over the course of each run.