Falmer sappin' mah wayshrine!

Each Paragon takes you to a different secret treasure cache.

Sapphire takes you into a closed off are of Auriel's Sanctum.

Amethyst takes you to the top of a lethally tall spire in Darkfall Grotto.

The other three I haven't experimented with yet to find out where they take you. Sithis told me to go to work, so I haven't been back there yet. Plan on covering it tonight though.