Getting Started in Dark and Darker

Fighter is the most beginner-friendly class — it can use nearly every weapon in the game via the Weapon Mastery perk, so mistakes in loadout choice cost you less.
A melee-plus-ranged loadout (like Longsword or Arming Sword and Shield paired with a Bow) is a strong, forgiving default for new Fighters.
Wizard is powerful but heavily gear-dependent — save it for once you understand the dungeon flow, not as a first class.
High Roller dungeons offer better drop rates for Unique weapons, but you'll need to beat their bosses (like the Lich or Ghost King) to get them.