Vexx's grandfather is killed and his soul is trapped in Dark Yabu's amulet, said to be doomed to torture forever in its void. Nothing is actually done to help him and the plot point is forgotten after the tutorial level.
As early as the first room, you can jump into torches and catch fire. The goal of doing this is to reach the rafters (jumping on the torches launches you) but doing so takes away a bit of your health and kills you if you do it too much
SPOILERS: It is revealed after a certain number of hearts that one of the tutorial characters is actually the villain in disguise, who had bee using Vexx to open up the other worlds for him to take over, or something.
You can gain health by hitting tombstones in levels. This doesn't do anything bad, but these tombstones by default occasionally emit spirits that echo lines of dialogue from their last hours