finding vampire artifacts give you fury. you can go to the challenge room to find the ones you missed. other challenge rooms give you additional full ammo weapons for the start of each level and hand spells not to mention the 4th glove mode. If you finish the game you can play necromancers return, where you have the glove from the start. The sniper is good to start with. The glove is awesome.
my video on the serious sam challenge...