Inelastic light scattering spectra of several members of the RFe3(BO3)4 family reveal a cascade of phase transitions as a function of temperature, starting with a structural, weakly first order, phase transition followed by two magnetic phase transitions. Those consist of the ordering of the Fe-spin sublattice revealed by all the compound, and a subsequent spin-reorientational transition for GdFe3(BO3)4. The Raman data evidence a strong coupling between the lattice and magnetic degrees of freedom in these borates. The Fe-sublattice ordering leads to a strong suppression of the low energy magnetic scattering, and a multiple peaked two-magnon scattering continuum is observed. Evidence for short-range correlations is found in the 'paramagnetic' phase by the observation of a broad magnetic continuum in the Raman data, which persists up to surprisingly high temperatures.