Explore the Arena District first, then look northwest for training, due south for shopping, west for religion, west for caravan duties and far southeast for magic areas. Some areas you can get into, but have to get out another way, so be careful. The sewers can be dangerous places, try and explore them with a friend. You can die quite easily in a sewer. In the sewers you will lose attributes.
Religion is a good thing.
But stay true to your religion or suffer the consequences. The hospital can be very expensive. It is cheaper to use a good inn if you can afford a few days. Join a team. Teams share map information and other hints.