Regarding bogeymen, you can just turn them off in advanced worlgen by setting bogeymen types to none.
Or you could get armor, as described above, and use them for training (and food). They are unarmed, and really not that tough if you have a full set of armor and decent skills. Also, you obviously don't want to go to sleep and let them jump you while you are unconscious - just fast travel at night for a few squares and they will show up. If you keep moving so that you only engage them one at a time they are not that tough. You kind of want to circle around, such that all of them are visible to you but only one next to you. If any of them go off the screen, they will vanish and a new, fully healed one will appear ahead of you. Charging is also effective against them, as they are small and easily knocked down.
Once you kill them all (there are typically 4-5), they will not bother you for the rest of the night. If you kill them enough times (or maybe just generally get tough enough?) they will not bother you at all (unless this has changed since 34.11). You will know this has happened as the townspeople will say something like "only a hero like you can travel at night" instead of the usual bogeyman warning.
However, there is always some risk, as some of them have horns which can pierce armor. They also feel no pain, and are fairly hard to hit. If you want to be safe, follow the advice of the nice townspeople and don't go out alone at night.
Other tricks:
If you are having trouble, try killing a vampire (not even remotely hard, especially since the townspeople will all help you) and drinking his blood to become a vampire. Then you will feel no pain (VERY important) and get some other stat boosts. You also don't have to sleep or eat, which is nice. Only downside is your stats no longer can increase, so don't use this right away if you are trying to create the most burly, dexterous adventurer of all time. Also there's the blood drinking thing, but if you don't want to murder people you can just drink the blood of your opponents after they pass out (try strangling them or breaking their bones). Or drink the blood of animals.
Hitting armed opponents in the feet is a good tactic early in a fight. It seems like they block/parry this infrequently (versus almost always for attacks on the arms), and it will slow them down and give them negative status from pain/bleeding etc.
Sneaking is ridiculously easy in this version. People never seem to notice you even if you walk up and punch them with novice skill. I think this may change as bug fixing continues, but for now, even with the improvements in 40.10 it is still very easy.
If you don't like swimming/climbing, you can jump over rivers with a running start.
If your companions are bowmen, you can give them more arrows using the "exchange personal item" menu, and they will use them.
Speaking of bowmen, if you don't like getting killed with arrows, wear iron or bronze chain armor. It will reduce all hits from arrows/bolts to merely bruises. This sadly will not prevent "you have been shot and killed", as no chain armor covers the head, but will dramatically improve your chances. You can also of course mod arrows to make them not pierce iron armor (
see this thread for details). Steel armor (of all types) is also 100% effective against arrows, but is almost impossible (or maybe totally impossible?) to find.