Blue Sparks
Sparks usually come from capsules; break open a capsule and Sparks spill out. You may have to run through them to capture them all because they only last for a limited time. Blue Sparks are your form of currency. Take all the blue Sparks you capture and spend those blue Sparks in the Toy Store on various cool toys and accessories. You are also rewarded blue Sparks at the completion of each mission.
Green Sparks
Green Sparks are for health regeneration. As your character takes damage, your health bar decreases; green Sparks fill your health bar back up.
Orange Sparks
Orange Sparks give you experience. Just like defeating foes and gaining experience through the orange Sparks they drop, orange capsules give you experience Sparks, only there are usually more orange Sparks in a capsule than even a modest enemy encounter.
Purple Sparks
Collecting purple Sparks adds to your special ability bar. Depending on your character and your skills, you may have more than one section on your special ability bar, and these purple Sparks fill the bar up so you can use your really powerful abilities.