Modular varieties, by their very definition as parameter spaces, usually carry very interesting cycles and enjoy intriguing arithmetic and geometric properties. These lectures will concentrate on the birational geometry of the moduli space of curves, as well as some of its modular covers (Prym and spin moduli spaces together with the higher level analogues). Topics include Kodaira dimension, singularities of moduli spaces, and techniques for showing unirationality or rational connectedness of these spaces in small genus.