Some of them can open doors, most likely the Goblin Thieves. There is no information on what the goblin thieves are capable of yet, they seemingly can't steal from your chests. Assumingly they act as a peon and try to hit you, or possibly they just open the doors for other goblins.
Goblin Sorcerers attack from a range. Warriors and Peons just try to hit you with melee, but they hit quite hard if they get a chance. One bonus thing in Goblin Sorcerers is that they have a small chance of dropping Rocket Boots.
They drop coins, a Spiky Ball and by chance, some other items. As well as spikey balls they can drop harpoons, which act similar to spikey balls and shurikens.