Gems are currency in Shadows of the Damned.
White Gems are considered the official currency in the Demon World. Collect them and use them to buy new items from Vending Machines or Christopher.
Red Gems upgrade your weapons.
Blue Gems are very rare in the Demon World, and are usually possessed only by big, arrogant Demons. Blue Gems are said to possess enhancement powers, and when applied to Johnson's skull, it will be possible to obtain new weapons and/or new functions.