Evergaols are large stone circles indented into the ground, always surrounded by "stone ball enemies" that explode if you don't kill them fast enough. When you interact with a glowing spot in the center of the Evergaol, you will be brought to another dimension and after a while you'll be able to fight a boss trapped inside.
If you die inside the Evergaol, you can collect your lost Runes relatively easily, because they will be waiting for you outside the Evergaol and you won't have to re-enter it.