Fighter:
Train exclusively swords. Swords are by far the best weapons, followed by unarmed combat, distantly followed by axes and maces which are both really bad. After swords (or unarmed if you really want) reaches 50, what you do with the rest of your points doesn't really matter, the rest of the skills do almost nothing.
Rogue:
If you want to use melee, pick one of daggers or unarmed (they're very close in power so just pick the one you prefer). If you chose daggers, add in enough assassination skill to get your preferred amount of backstabbing. Alternatively, you can train assassination exclusively until 50, which lets you one-shot backstab most monsters as long as you're wielding a dagger, but that will leave you with pretty bad melee damage before 50. If you pick unarmed, be aware that improved backstab and master assassin only work with daggers - you'll just get the regular 2x backstabbing bonus no matter how high your assassination skill is.
If you want to use ranged, train either missile weapons exclusively or throwing exclusively, they're pretty close to each other in power.
Don't waste points in dodge unless your weapon skill is already at 50.
Note: the skills that say they "increase attack speed" by 25% or 50% actually reduce cooldown by 25% or 50%, so they actually increase your rate of attack by 33% and 100%, respectively! Together with volley/double throw, this makes high skill ranged weapons ridiculously good.
Mage:
Don't waste points in staff defense. When you find the Orb of Radiance, use it, as it has a hidden property: it reduces spellcasting cooldown by 40%. You will be putting way more skill points into elements than into spellcraft. Breakdown of elements:
Fire: Slightly higher damage than air, but it offers nothing other than damage and fire shield. Fireball also takes marginally longer to cast than other bolts since you have to click 3 runes instead of 2. There is one monster with fire immunity.
Air: Has invisibility, which is downright brokenly overpowered, and the damage is almost as good as fire, and there are no monsters with lightning immunity, and lightning bolt is faster than the other bolts to boot. There is an item you can get very late in the game that makes fire's damage significantly better than air's, but before that point, air is just plain better.
Ice: Ice shards is the only penetrating spell in the game, but it's rare for that to matter. Frostbolt does very little damage, but it can freeze (i.e. paralyse) opponents, and the freezing lasts for long enough to easily kill the monster before it unfreezes. There are two monsters with cold immunity.
Earth: Poison cloud is not really a practical spell, but poison bolt requires significantly less skill investment than other bolts. However, there are four monsters with poison immunity, more than any other element. Also, greater poison bolt is bugged: it leaves behind a poison cloud and this poison cloud doesn't award xp if it deals a killing blow to a monster. So be careful about that. Most players prefer to ignore earth entirely.
Although it isn't displayed anywhere, every level of an elemental skill directly increases the damage of that skill's spells. This means that even once you have the spells you want, training your elemental skill(s) more is likely to still be better than training spellcraft. I would generally train spellcraft to 10, since you want to meet item requirements and combat caster is a good deal. Improved combat caster may be worth it as well, but it is extremely unlikely that you want to train spellcraft further than that.
Ranger:
Same as fighter but you can add some spellcraft if you want to cast light. Or play as a pure fire mage but that's unbearable imo.
By the way, the willpower and vitality bonuses for health and energy apply on level up and are not retroactive.
