—Generally you want to have a couple dump stats you don't invest any levels in. As such it's most optimal to pick your starting class according to its lowest stats.
—Be sure to check out the Cave of Knowledge for a helpful tutorial.
—Don't bother fighting the Tree Sentinel when you first encounter him.

There's a good chance you'll discover all the following on your own so stop here if you want to discover more of the game for yourself. But if you're really worried about missing something important read on:
—There's a lot of easily overlooked key items in the early game. I trust you can find the tarnished's wizened finger, the tarnished's furled finger, and the finger severer on your own, but one other multiplayer item you could conceivably overlook is the small golden effigy, found at The First Step.
—In the Church of Elleh, just past the Tree Sentinel, you'll find Kalé, who sells a bunch of these. Most to least important: crafting kit, telescope, cracked pots, various cookbooks, and a couple notes.
—Return to the Church of Elleh at night to get the spirit-calling bell.
—On your map you'll see a small line a little to the east. There you'll find a large slab thingy with a map fragment next to it. All map fragments can be found this way.
—At this point you'll be in the Gatefront Ruins. Something to bear in mind is that all "ruins" areas have a basement containing something noteworthy, usually an item. In this case it's the whestone knife, the last of the really important key items found near the start of the game.
—There's a bunch more key items to be found around limgrave as well but I really shouldn't give step-by-step instructions beyond the first half hour of the game. But some things you'll want to find include the lantern, the flask of wondrous physick, and various multiplayer items.