Before you start running, you will have the option of buying a number of power ups. These can be a huge help in getting you more Lums, dealing with enemies, or simply making it to the end of the level in general.
The heart power up gives you more health, so when you get hit by enemies you will survive longer.
The punching glove power ups give you punches with more range to deal with enemies.
The foot-shaped power up will show you the best path to run along in a level, and will even show you the best times and places to jump.