You gain trains, practices, hitpoints, and mana when you level up. However, if you have two classes, you will earn these only when you level up the higher level of the two classes. For this reason, save as many practices as possible and only practice the essentials, unless you don't plan on adding a second class. When you reach Hero level (150), choose a new evo race (for example, Human to Angel, Elf to Sidhe), as the starting stats are higher than a starting race.
Use the 'race info <race name>' command to find information about any given race, such as its training costs, starting stats, size, vulnerabilities, skills, and so on. Pick a race that has low base training costs for the stat that complements your class. For example, most Warrior skills are based on the strength stat, so as a Warrior you want to choose a race that has low base training costs for strength. As your strength stat starts to increase, as will the cost to train it. If your current cost is 6 and your base cost is -2, it will cost you 4 trains to increase your strength. It also helps to choose a race that has haste as a racial effect, if you can't cast it yourself, as haste gives a second attack.
You will spend half the practices and increase your learned percentages to 80% rather than 50% if you train your skills and spells with a player rather than a guildmaster. Check out the teach and learn helpfiles.
Train your class's complementary stat to increase your damage.
Until level 15, all characters gain a flat +15 hitpoints, +15 mana, and +200 practices. After level 15, gains depend on your classes (it's normal to gain less than what you gain up til level 15). Stats do not influence hitpoint gains on level ups. Warriors generally gain more hitpoints than a Mage, and the gain amount is always randomized.