If you're new, the following setup works well:
Elves are fine, maybe even a little better for noobs because of SPEED BOOST.
When I'm trying to actually do something, like depopulate a nation or kill dragons, I go with this setup:
Demigod
Superior Strength, Agility, Toughness/Endurance
Crank down analytical, patience, linguistic, creativity, musicality to minimum
Above average Social, Willpower, whichever of toughness/endurance you didn't do superior
MAD SKILLZ
Go for weapon skill 'round Adept. You can train armor later, and a full set of it won't do you exceedingly well until you're around Legendary armor user and won't be encumbered at all.
Put novice into swimmer, novice into reader (UNLESS you're an elf) and adequate into observer. Very important for midnight ambushes camping trips.
Split dodger/shield user even-even with whatever's left. If it comes out uneven, funnel the spare points into Armor.
WEAPON CHOICES
Now. this is tricky.
If you like a balanced meal fight, use a sword. Lucky people get iron longswords, unlucky people get silver Zweihanders(2-handers)/short swords. Swordplay is also used for bows in melee.
If you want it to DIE NOW and HARD or reenact the Black Knight scene from Monty Python, use an axe. If you don't need a shield, get a greataxe asap.
I don't really use spears or pikes, but I guess they aren't that bad. Lots of NPCs use them, as do the desert-dwellers of instant death in my favorite novels.
WHIPS > EVERYTHING ELSE
Seriously, they cut through steel armor like butter. In life, they are supposed to cause pain; in Dwarf Fortress, they cave in your opponents' skulls quickly and efficiently. Be warned, though, that without companions and/or a clear shot at the head, you're Indiana Toast. Yes, I went there. You can't de-limb people, see, without lucky cracks to the arm or leg.
STOP! HAMMER TIME!
Hammers kill people very, very fast. No, they don't return to you like Mjollnir, but they are more effective at breaking people's arms. Carrying a spare hammer could be a clever idea. Hammer skill is also used for crossbows in melee.
Bows and crossbows are functionally equivalent, except they use different kinds of ammo. Neither tends to be very accurate without insane training, but they are the weapon to use if you want it to die waaay over there.
Throwing, oddly enough, is a very good skill. You may want to consider it. You can easily kill anyone with anything, and a bag of berries in a farmer's house is deadly in your hands.
Maces are nice. Morningstars are very fun, indeed. Regular maces, however, are very much like plain old hammers, so they're, y'know, meh.
Have fun.