They let you go back to the real world.

(SPOILER)
There's a fourth, that you can't see to go out of, but you can go into. It may stay appeared once you go into it. It's got something to do with how you find the ragnarok once you're in disc four. Something like going to the chocobo holy land and hiking down esthar to some island and finding ragna. cant' remember exactly^_^