Their roles vary throughout the games and they are sometimes replaced by other things. They're mostly sought after to beat the games and Slender Man often gets stronger or more relentless as more are collected.
The page's first and most significant appearance was in Slender: The Eight Pages. As the title suggests, there are eight pages scattered throughout locations throughout the map. When all of them are collected, the player can continue to escape, but the Slender Man will seemingly take them.
Their intent in the game is unconfirmed, though it's quite near obvious that the Slender Man doesn't want the player to find them all, as he becomes even more relentless as more are collected. Also, as of an update, when the Slender Man seemingly takes the player, the player then wakes up seemingly alive in the day (night if playing daytime mode) and can walk around a few seconds until the credits start. This may indicate that the pages may have weakened the Slender Man's attack to just knocking them out.
The pages appear to be written on lined paper, and have crude drawings warning the player, begging for help, and begging Slender Man to go away.
Slender Rising Edit
Pages reappear in Slender Rising and Slender Rising 2 and are referred to as signs, unlike Slender. There are seven signs scattered throughout the map, and the player can actually escape when all are collected. In Slender Rising 1, the player will escape straight away when the seventh sign is collected. In it's sequel, after the seventh sign is collected, the player must get to the portal whilst still avoiding the Slender Man.
In Slender Rising 1 and 2, the signs are drawn on old brown paper on wood, and often appear to be written in blood. They seem to have more threatening sentences than Slender's pages, such as "You are the sacrifice" and "No one leaves alive". Also, the letter O is often replaced by The Operator Symbol.
They are often found on the sides of walls or buildings, though they can also appear on vehicles, trees, inside cabins, or even on gravestones and log piles.