Welcome to an awesome game and community!

I highly recommend selecting Alchemy and Environmental Magic as primary skills whenever you start a new character because both of those skills will be EXTREMELY helpful throughout the entire game.

I just recently posted a bunch of info in another thread regarding Environmental Magic, so I'll just provide you with the link instead of repeating it all here.
viewtopic.php?f=2&t=4729Like reddragon72 said, there is nothing directing you or holding your hand throughout this adventure. You can choose to stick to the main quest or venture off on TONS of side quests that really flesh out the world. Personally, I highly recommend doing the latter.
Save often!! This is the kind of game you can easily spend many hours on one play session without even noticing it, so if you end up dying without a recent save it could really dampen your drive to retrace all of that work you put in.
Also, on the topic of saving, be sure to save before you complete any quest because there are usually several different ways to actually complete most of them, and some outcomes are better than others. This is one of the things that I REALLY enjoy about this game because your decisions actually matter. Make too many poor decisions, and your fame will drop causing townspeople and guards to shun your very existence. On the other hand, though, some equipment requires that you have an evil alignment, so it's up to you to choose your own path.
As for spells, learn Mark and Recall as soon as possible. You can actually find both of them in the first town of Matras too!

Another trick with saving, is to always save before entering any of the shops for the first time. Their inventory automatically resets every 24 hours (in game time), but you can speed this process up simply by saving, checking their inventory and reloading your game if you don't like what you see available. It's quick and easy, and definitely saves you a lot of time.
Also, as far as spells go, try to collect as many wands for different spells as possible. You can cast spells from wands without using any mana, and if you have the Recharge Wand spell you can simply fill it back up once it runs out. This can save your life!

Well, that's all I can think of for now. I hope this all helps you enjoy this incredible game.