Race: human, currently the only one to have a reasonable shot at getting good equipment fast.
Attributes: mainly dexterity (agility) and strength, to help with speed and lift capacity.
Skills: defensives - shield and dodge; if you have the 'embark' points, getting at least shield up to proficient would help a lot. One or more points in a weapon and _no_ points in unarmed skills guarantee starting with a shield. One or two levels swimming for convenience, rest preferably in observer (no more than proficient, though). You can put a few points in ambusher or a single one in reader, but reader is very situational and ambusher trains very easily.
If you want to go adventuring right out of the gate, getting a few more points in your chosen weapon would be important, but you should generally be careful not to ramp up difficulty too fast - confront vampires when other people are nearby, visit werebeasts when they're not transformed, postpone that dragonkilling quest for a long time.
Get used to taking 'A'imed shots when fighting, and pick those with a decent hitting chance. Unless it looks like you can land an early headshot, go for the legs first.
Thrown stuff can kill most regular enemies with some patience, and when you're sneaking, you can avoid retaliation completely as long as you keep your distance (four tiles, i think). It also trains some valuable attributes.
If you get a prompt whether or not you really want to attack a creature, think again. It's quite possible that going through will give you more trouble than you're able to handle. Most notably with friendly units in settlements - attacking those can easily bring the wrath of the entire town upon you, and getting surrounded is dangerous even for legendary adventurers.
If you actually want to train up your adventurer, you can start with a skill-less peasant. Just grab yourself the nearest small animal and let it go to town on your face without retaliating. Don't try this with a tame ('stray') creature, though. You can get to legendary in the three defensive skills, fighting and wrestling this way. Ambusher, swimming and crutch-walking are trained by simply performing the action. You can train all three at the same time...
It takes quite a bit of patience, but is perfectly feasible.