A few skill training and basic combat tips I've learned:
- Shield and Dodge are difficult to raise w/o getting yourself killed, but they are very useful. I generally start with as many points in these as I can so that I don't have to worry about them for a while. As a side benefit, you'll sometimes start with a very nice shield (I got a steel one once).
- Start training Ambushing immediately. Just turn on stealth and walk along the roads in close up view to get where you are going until you've got a couple levels of it. Don't bother to put any starting points into it.
- Ambushing and bows work very well together. Once you've reached competent ambushing you can often fire at enemies with impunity from 5-6 squares away, which lets you train marksmanship (or throwing) fairly easily.
- Fighting and Wrestling are VERY easy to raise. If you can manage to disable one human or goblin type opponent, rather than finishing them off with a weapon, put them in a choke lock and gradually choke them to death. This takes dozens of rounds and will very rapidly train both these skills, so you can forgo putting any points into them initially - as long as you can find some way to win that first fight.

- Never fire from closer than 6 squares. After each shot with a missile weapon there is an enormous delay during which your enemies will get several actions - usually stabbing you to death.
- Human is probably the easiest starting race, as all those bandits you fight early on may drop some usable armor, and all the human towns sell it. Dwarfs and elves are considerably harder to find armor for.
- Approach enemy camps very cautiously. Use stealth when possible and size up the opposition. Companions make this hard, so I usually only bring them along when I need to tackle something especially deadly, like a troll, where the soldiers make a nice distraction while you move in for the kill.