The gold bricks allow you to build special objects outside of the games themselves (aka in the level-select environment you're running around in). There are 160 bricks in total to collect.
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They are clips from the "Bonus Levels" which are in a separate room, available once you get to a certain point in the game (after earning a certain number of gold bricks). Beat the bonus levels (there are 6, one for each episode) and you'll have those clips unlocked.
A complete walkthrough is available at http://www.gamefaqs.com/console/wii/file/939578/51249. Press Ctrl-F and look for 5II. Jedi Destiny and you should find it in no time!
Lego Creator is the best, but it's really old, so don't bother with it. Lego Star Wars is the coolest. Lego Batman is the most addicting Lego Indiana Jones is AMAZING. Lego Harry Potter is the best.